If you have factory fogs, you have to re-wire them so that you can use just the fog switch to turn them on independent of the headlights. I think Chris tried this a while ago, so I'm gonna bump this for ya. ^^^
Coincidentally I went to the dealer today to get factory fogs. They gave me the option to wire them with the parking lights or the headlights. Didn't get em (requires cutting, even though I don't have inserts and i didn't trust the techs), but look into it with your dealer, they might be able to at least give some suggestions.