Everything should shut off when you turn the key to the OFF position. Like willboy said, you have something draining your battery. If that is the case, get a digital volt meter. (harbor freight has them really cheap) Disconnect your positive battery cable and hook the meter in series from the cable to the battery terminal. Make sure the meter is set to amps. You should read very little if anything. If you have .35 miliamps or more, something is causing a drain. You can then start pulling fuses one at a time until you see the reading drop. Then you have narrowed down the search for where it's at. Then start looking at things tied to that fuse. Has the previous owner installed any aftermarket items? That is usually a cause for a battery drain. Let us know what you find.
CE1 Navy Seabees/RET
1981 to 2002