Sidelights work regardless of ignition, headlights you need position 2 of ignition (This applies to nearly all Fords), the headlights need to work for the permanent main beam position on the indicator stalk to work, so I would first check to see if power is making it to the bulb and then check the bulb, both dipped and main bulb use the same "Halogen" bulb.
Can you hear the relay "Click" when you turn the headlight switch on WITH the ignition on?
Martin