Should I have to turn my lights on to illuminate the radio?

Nooo you shouldnt have to turn your lights on to illuminate the radio at all. it should be doing it on its own if i am not mistaken. maybe you hooked it up wrong, or maybe you have too many things hooked up and your battery is having trouble supporting it. and yes you should hook up the ground wires, if you see anything thats like metal, try to hook it to that and it should be fine. hope this helps :-\ good luck!