If your light stays lit and will not turn off, the problem is probably not the sodium bulb itself. When sodium bulbs stop working, they short out or refuse to light properly. When the bulb lights but stays on all the time, the problem is probably more connected to the photocontrol panel -- the panel that senses light and darkness and turns the bulb on only during the night. Check the positioning of the panel carefully and readjust it as needed. Sometimes shadows or reflective surfaces can cause the photocontrol component to think that the bulb needs to be on constantly.
Photocontrol failure refers to photocontrol panels and components that have shorted out or malfunctioned entirely. In this case, repositioning will not work to fix the problem, because the photocontrol device is stuck sending a permanent "on" signal to the bulb. Replacing the component should fix the problem and keep you from running through sodium bulbs.
You may also find that the photocontrol panel is operating correctly, but the circuitry for the sodium bulb is malfunctioning instead. This is tricky, because the problem resembles a faulty photocontrol device but is actually located in a different part of the light system. You can measure lamp operating voltage to find clues to what component is malfunctioning.
If your sodium light is constantly on, you have probably noticed that it is constantly flickering -- cycling on and off. Many sodium lights are designed to turn off and cool down when they have reached the upper limits of their temperature resistance. Improper electrical management components in the bulb, known as ballasts, can also cause constant flickering when the bulb stays on.