Just posting my findings on a problem I had with my headlights.
Headlights would sometimes take a while to switch on/off (after turning the dashboard switch) - even had them just turn themselves off randomly (at 120km/h ). At first I thought the problem was the relays, but it turned out to be the switch itself. If you want to check your switch with a multimeter, I've attached a little diagram I made of the physical connections inside the switch.
If one of the connections is faulty it's obviously probably safest to replace your switch. I just opened the switch up (3 plastic clips on the outside of it - you need to get it out first, there are other posts on how to do that), fiddled with it and put it back together again and it seems to be fine now. The clips were brittle after 16 years and cracked a bit, but the it still went back together fine and I just put a little sticky-tape around it to keep the clips in place.