Whenever I arm it and I leave the headlights on, it takes them about 4 MINUTES! for them to turn off! Is there anywhere or anything I can adjust to make them turn off much sooner??

 

Nope. From your owners manual:

Battery saver system

When the headlight switch is in the or
position while the ignition switch is in
the ON position, the lights will automatically
turn off 5 minutes after the ignition switch has
been turned to the OFF position.

When the headlight switch remains in the
or position after the lights automatically
turn off, the lights will turn on for 5
minutes when the headlight switch is turned
to the OFF position and turn to the or
position.

 

When set to the 'auto' setting they shut off much sooner.

Oh, wait, G35s have 'auto' but Zs don't.

You could always try flipping that little switch to the 'off' position!!!!