I myself would keep the lights on as an indicator that you are OK and don't need help. Otherwise someone who is helpful and knows that the house is there, may try to come check on you after not seeing any lights. Every area is different, so it's hard to know. A good analogy is how drivers in the less populated western US will often stop to check on a disabled vehicle on a highway because of survival concerns for the occupants, while drivers in the eastern US will likely not stop to check on a vehicle due to personal safety concerns.