Ok. You guys are forgetting the relay switch. Never EVER hook up a set of auxilery lights to the same circuit as your headlights or parking lights. You're raise the risk of frying your electrical system and fuses.
What you do is splice into the circuit you want to use to activate the lights. For example, if you want the parking lights to turn on your fog lamps, then you tap into that circuit. Then run the wire to the "switching means" on your relay switch. Then run a "fused" wire straight from the positive terminal of your battery and connect it to the battery terminal of your relay switch. Hook a ground wire to your relay switch to where it says Ground and screw it to the frame. Then you connect your lights to the "lamps" terminal of your relay switch.
This will provide power STRAIGHT from the battery when you flip on your lights. It'll take a lot less strain from your electrical system as well. But please. Do NOT connect your auxilery lights directly to the same circuit as your regular lights.