"93 Golf CL alarm problem (long)

It started out when I noticed that the signal lights front and back
would stay on when I turned the key to turn my alarm on.   When I turned
the alarm off they still would stay lit. It was a nuisance at first and
all I had to do was turn it off and on again and everything was normal.  
Several times I would lock my car and go into work and a couple of hours
later someone would say that my lights were turned on.  As time went on
it was increasingly harder to turn my alarm on as it would now take
several on/off cycles to finally have my signals blink off.  It got so
frustrating that I just opened the back door and locked the front door
that way.

Now, just a couple of weeks ago my left turn signal starts blinking
rapidly indicating a burnt out bulb.  I go to Canadian Tire and before I
get in I check the back tailight to see what kind of bulb I need.  I
can't get the panel off because the over-heated bulb - remember it
stayed on for a couple of hours at a time - melted or softened the
plastic ring it went through.  Later that night my tail-lights were
acting strange.  My right turn signal would go on when I applied the
brake and my right turn signal would stop blinking.  Next stop the VW
dealer where I changed 5 bulbs.  I did notice that there was some water
on the back of the housing and was told that a short from the water
could have been the reason for my lights to stay on.  I installed
smaller 10 watt bulbs for the turn signals and now it seemed to work
perfectly.  No issues with the signals staying on.  Today, I bought a
new tail-light and returned the 21 watt light bulbs to their places and
had no problem till I got home from work.  First time, no problem.  Then
I forgot something in the car.  This time the lights would stay on.  I
couldn't shut them off.  I even went to a parking lot away from the
houses and still couldn't turn them off.  I had to disconnect the
battery because I didn't want to melt the new lense I just got. BTW,
when the lights are on the signals and emergency flasher don't work.  
Has anyone had this problem before and what did you do to fix it?

Ryan