Errrr, no they shouldn't blink, I don't think the turn signal is the right one to use.
The ones used most often are the 'always on' by tapping into the main car power aux (This leaves them on as soon as the key hits the #2 position before turning the engine over, and they stay on after the car is off for 10 secs or so). The other power source used often is the fog light power, so that the DDE's only come on when you put your fogs on.
There's a host of different places you can tap into for power, that will cause it to go on/off at different times. I don't think the turn signal is one to use tho? (especially if it's making it 'blink' when you use the signal, that's not good).