^^ No you're not doing anything wrong, those exercises are just plain bad on the elbows.
Basically have a look at the motion and where all the forces are being applied, it is right were the tendons cross the joint to insert into the forearm. Of course this is going to put strain on the tendons there, not to mention the joint itself and the ligaments involved.
I personally get the same issue and have battled to find tricep exercises that don't aggreivate the elbow. Lockouts seems to be fine, close grip bench, rope/cable extensions, dips and sissy extensions. But the proviso on these is that you actually have to have allowed the elbow time to recover i.e. you have to stop pressing and tricep work and allow the joint to recover and then start the new exercises.
are u bringing the weight to your forehead? if so stop it. INstead of making a 90 degree angle to your forehead keep that 90 degree angle and point your elbows further behind you so when you extend the weight your extending backwards and upwards rather than just upward. This should also allow you to transfer the pressure from the elbows to teh triceps muscle instead. But bc you are doing the movement at a different angle keep the lats tight as well.
Your still doing these lying down on a bench but instead of doing them to the forehead your doing them to the top of your head. This should cause you to move the upper arms backwards towards the top of your head which makes the pressure move from the elbow to the triceps and kind of the lat(front of the lat armpit area), the lat is more of a stabilizing thing.