I've only had my jeep a week now and I have already found an issue. I will lock my jeep and walk away. Not all the time but sometimes when I come back to it the doors will be unlocked and the head lights on. And I know I have locked it. Any advice on what it could be?

 

The headlights still being on may indicate the door was unlocked shortly before you approached the vehicle.
Any chance you are hitting the unlock button when you grab the key?

 

That's kinda what I thought at first but then there has been a couple instances where I'll lock the door. Take step back and I can hear the doors unlock.

 

Disconnect the battery negative terminal for a minute, then reconnect it. See if it continues to unlock on it's own.

If it does, it's time for a warranty claim.