A little while ago David posted this under a different topic.  I did this
and it's really easy and cheap, so I'm reposting it for those who missed it.
A buzzer, a length of wire to extend the red wire, a butt crimp connector
and a couple of Scotch lock wire taps.  Took all of 30 minutes, and most of
that time was taking the instrument panel out to get at the parking light
wire along with removing the steering shaft cover:

"Radio Shack 273-055 (four bucks in the US) is a little twelve-volt buzzer
[about the size of a caramel] that makes a very good and easy headlight
monitor.  It's small and has a low pitch (300-500 Hz) so us old deef folks
can hear it.  It's polarized, only runs if the red wire is positive.  This
makes it very easy to hook up.  Red wire to parking light feed from the
headlight switch, black wire to ignition switch 15 terminal.  Little piece
of double-sticky mounting foam to put it somewhere convenient. -David
Beierl"

It will buzz when the lights are on and the ignition is off.  Alistair's
solution
(http://shufti.wordpress.com/2010/05/15/headlight-on-warning-chime-mod/) is
more elegant in that his bongs only when the door is opened, but this is a
lot easier to install.

Stuart