You have several options. I installed some cheaper aftermarket fog lamps, that came mostly prewired. I got the main power directly from the battery, and the switch power (that feeds into a relay) from the cigarette lighter. This lets me run my fogs anytime the truck is on or in ACC position. They are not influenced by the headlights or brights.
I keep reading about folks wanting their fogs on with the high beams. Mine can do this and I utilize them if I am traveling slower on back roads, but even though everything appears to be lit up better, I think all the light close in actually hurts your longer range night vision. It may also be that I have mine aimed too low, but with my set up, that has been my experience.
If your lights are not pre wied or if they are wired in such a way that my tips were not helpful, feel free to ask more specific questions. I knew very little about relays a few weks ago and recieved lots of good tips (and even a wiring diagram from SOLER) that really helped me dial in some other lights I installed.