i have JDM headlights on my car and i follow this mod http://forums.nasioc.com/forums/showthread.php?s=&threadid=101513 to keep the lowbeam on when high beam is on. after a while, one of my light didnt turn on so i checked my wiring and found out one of the relay was really corroded which i thought was weird, i used a generous amount of eletrical grease on all the conections. dont matter, i went to auto advance parts to get another relay since its late at night and its closest, my original relay is from radio shack. when i went ahead and connected everything, the headlight works. great! but the problem is when i went to turn off my headlight that headlight the relay was wired to stayed on! weird, i went a head and turn the headlights back on, then off...the light turned off. after playing with it for a while, i realized that when i turn the knob slowly, the headlight would turn of. if i turn the knob really fast, that headlight would stay on.

is it possible that the relay is sticky and doesnt react that fast as the radioshack one? or is there something else thats causing it?

....relays usually don't 'stick'....they start to arc and fail.....

Radio Shack relays are not usually the best quality. You should try to get a Bosch or similar good-quality brand relay. Also, unless the relay is a weatherproof one, it should be protected in a box so it doesn't get wet.
I suspect that your problem may have to do with some voltage being present on a wire that you aren't expecting, after the switch gets turned off. I'd use a multimeter to check all the wires/connections you modded (for example, did you disconnect the DRLs? If so, by unplugging the under-glovebox-module?), especially all the connections to your new relays.
If you could post a diagram showing exactly how you wired up your lights, it would help a lot in trying to figure out what's wrong.

....relays usually don't 'stick'....they start to arc and fail.....

A relay can definetly stick if you are drawing too much current through it.

Disaster999 are you running higher wattage globes then what was originally intended? If you got yourself a bad relay then it may not even require higher wattage bulbs to make it stick.

What happens is that the EMR given off by the higher current passing through is enough to hold charge in the coil that pulls the contact into place. So, although you've removed the power from the coil, there is til enough magnetisation going on from the paassing current to hold it in place.

Try replacing the relay and see what happens.

Also, the switch sounds like it is a concern. Almost as if it's leaving it's contacts behind or not swinging all the way when you flick it fast. Try flicking fast so that the lights stay on. Then try turning it a little further and see what happens. It may simply be a case of that your just simply not turning the switch far enough (about the widths of a bee's dick!) to switch the headlights off and that this problem only occured (coincidentally of course) when you had your first relay issue.