I would think they're automatically switched on when you switch on the ILS receiver.
Wrong. It is not connected in any way with the ILS receiver, and for a reason: besides ILS, marker beacons are used in NDB / 2NDB approaches, being collocated with the NDBs. Some countries (e.g. Russia) still have plenty of these. Last time I saw the marker light blink was at LKPD, they still have an active outer marker.
I think in most cases the receiver itself is permanently on, but its audio output can be turned on and off with one of the switches on the audio panel.