When I put my lights on in a few seconds they flicker and go off, the warning light then comes up. Turning them off and then back on a few time usually solves the problem.

I don't think it's a bad connection as once they come back on they stay on, even over more rough freeway etc when you would expect a loose connection to really fail -

Anyone come across this before?

Thanks.

 

Both headlights at the same time? Then its the headlight switch no question.
If just one of the bulbs are doing it, swap the bulbs to the opposite side of the car and see if the malfunction follows the bulb, if not, you need the igniter (ballast)