Run the + side of the buzzer to a diode you can get from radio shack. It will hook to the side of the diode that has the stripe. Run the other side of the diode(the no stripe side) to the headlamp power(dimmer switch would be a easy spot to pick this up).

Run the negative side of the buzzer to a 12v source that is hot when the key is in run. This can be picked up in the fuse box.

When the key is on, and the headlights are on, there is 12v on both sides of the buzzer, and it will not buzz. As soon as you turn the key off, but the headlights are still on, there will be headlight power on one side, but nothing on the other side, and power will flow through the diode, through the buzzer making it buzz, and then find a ground in the dead ignition circuit somewhere.

If you have the ignition key on, but the headlights off, power will try to flow from the negative through the buzzer, toward the dead headlight circuit, but the diode will block the flow of current and the buzzer will not buzz.