These lights are controlled by a computer
I don't think that you can just jumper a relay on the 03 and later trucks. All the exterior lights are controlled by a Front Control Module which is a computer that is located under the fuse and relay panel forward of the drivers side battery.
You can buy, from Genos Garage, a module that will do what you want though, its called a Brite Box. It allows you to keep the fog lights on and even keep the high and low beam light filaments on at the same time. I have it and it works great and no annoying lights out message or chime in the instrument cluster.