Are side marker lamps suppose to blink???

RedFish is correct. The how-to page is here. A front side marker light that has two wires (one feed, one ground) can be made to flash by just moving one wire. A front side marker that has only one wire (feed) and gets its ground via the lamp housing to body sheetmetal can also be made to flash, too. It's not quite as simple, but it's not difficult, either. Several methods are discussed at the linked page.