Here's how I wired my fog lights on my Acura...
If you want the fogs to come on with the parking lights and stay on with highs and lows (which I think is better)
tap a wire off of the parking light turn on wire at one of the parking light bulbs. (This wire will only be used for tripping the relay, so it'll draw VERY little current) Have this go to one side of a coil on an aftermarket relay (Bosch or eqv) and have the other side of the coil grounded. Then have a fused 12 V from the battery going into the switched side of the relay (default>> open), and the other side of the switch going to the fog lights. Ground the fog lights anywhere that is convient (just find a screw or something). I'll give a run down of what is happening...
You turn on the parking lights, and the relay coil is engergized. This throws the switch in the relay and closes the 12 V circuit that provides the power for the fog lights. When the parking lights are turned off, the fog lights turn off b/c the coil in the relay is no longer energized.
If you want, you can run a wire through the firewall that switches the lights on and off also. To do this, you can just place the switch inline with one of the coil inputs, therefore you decide when the coil gets input (but the lights will still cut off with the head lights)
I could probably draw you a schematic if these directions don't make sense. (I didn't have a relay that I could look at when writing this)