Technically yes, lights on uses more gas. ...but

Since your lights run on electricity ( that's supplied by your alternator/ battery ) there is a small amount of resistance on the motor when the regulator within the alternator kicks on.

As the alternator recharges the battery ( when the voltage level drops ) i...

Technically yes, lights on uses more gas. ...but

Since your lights run on electricity ( that's supplied by your alternator/ battery ) there is a small amount of resistance on the motor when the regulator within the alternator kicks on.

As the alternator recharges the battery ( when the voltage level drops ) it diverts some of the motor's energy away from it's intended purpose of propulsion.

That minor loss of propulsion means that more gas must be used to arrive at the same amount of distance the vehicle would have travelled had the lights been turned off. It's measurable but ridiculously small.