My idea would be this...
If the original poster wants to know still, then follow the same setup (but I doubt they're still around, what 2 posts back in 02... heh).
You'll need an SPDT relay from radioshack or equivalent that can handle the current. Reason you might want a relay is so you can use high amp devices (like high power fog lights) with low amp switches.
But what I was thinking...
Use this diagram to help hook it up:
Bottom of relay (as if you were looking at it):
Relay diagram (ignition off):
Borrowed from:
the12volt.com
Leave the switch so you can turn them off when desired
Take the input to the switch (constant hot) and run it to a switched wire. Either use a test light/voltmeter and find a switched lead coming out of the fusebox, or use a known (like the radio circuit)
Run the current switched (the wire going from the switch to the fogs), and run it into one of the coil terminals (85 or 86)**.
Ground the other coil terminal
Run a wire from your battery or other constant power source (your one already hooked to the battery will work) to terminal 30
Hook the wire going to the fog lights to terminal 87
Terminal 87a is not used in this setup (so leave it alone!)
If you hooked it up properly, the coil will energize when the ignition is on, in turn completing the circuit between terminals 30 & 87. Your fog lights will illuminate. When you shut off the ignition, the coil will de-energize and the fogs will go out.
Relay with ignition on:
So here is the connections:
Switch:
Input: switched circuit (fuse box, radio, etc)
Output: to Terminal 85/86 on Relay
Relay:
85: Either output from switch, or to ground**
86: Either output from switch, or to ground**
30: Constant hot from battery
87: To fog lights
87a: -unused-
**Note: if the relay has a diode, you will need to have correct polarity. Ground the terminal that has the Cathode (striped or notched side of diode) attached, and provide power to the other terminal (the anode of the diode).
If you don't want the switch, just omit it, and run the switched lead straight from it's source (fuse box, radio, etc) to the coil of the relay. 
