My dashboard illumination lights and switch lights turn on as soon as I turn the key on.

They all do that. It's called bulb check.

 

If I am not mistaken all that should stay off until I turn the headlights on?

Your correct. The dashboard illumination gets it's power from one of the tail light circuits. So the switches etc shouldn't illuminate until the side/tail lights are switched on. Maybe go to the back of the car and check to see if the tail lights are also on when they shouldn't be.

 

Ignore me. Bulb check is not illumination.