Front fogs have their own switch and relay. You can go with the stock wiring (requiring you to work in the relay bay, a job best left to a ferret) or use the wiring diagram posted by "n0v8or" to use the oe switch and lights, but bypass the relay. Advantage to this is you'll be able to run the foglights without running the headlights. I have a copy of the diagram and instructions if you need it.

OE switch should cost maybe $20. For the bypass wiring the relay, a little wire, fuse holder, 20A fuse, wire-taps, and 11" angled needlenose pliers cost another $25.

If you use the full oe system, it's pre-wired. Erlend Hagen's write up as to how he did it are very detailed. They're in the archives for Nov and Dec. Check these two links:
Brief instruction for jumper to relay
http://www.brickboard.com/AWD/index.htm?id=134518
Detailed instructions:
http://www.brickboard.com/AWD/index.htm?id=139233
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(98 S70 T5SE misc mods, mostly lighting) (92 940GLE)