Mort

I recently installed aftermarket gauges in my 1972 Monte Carlo. I hooked the power for them up to the fuse box. If I don't start the car for 3 or 4 days the battery is drained. The only thing I don't get is the gauges work when the car is off, but the lights in the gauges shut off when the car is off even though they are connected to the same power source. I'm certain that the gauges are draining the battery, but I'm curious why the lights don't stay on with the gauges, and what do you guys think I should do to prevent the battery from getting drained? All help is appreciated.