On my wj if the kids leave their over head lights on the jeep will turn them off after 10 minutes or so.
On the xj, this isn't the case and if the lights are left on, it leads to a dead battery.

What can I do to make the xj's lights go off automatically?

 

You'd have to setup some fancy timer... or just turn them off before you get out

 

Is there some sort of module needed?

 

Probably, look into how the wj does it