Bad idea, that'll burn out the bulbs very quickly. I've got my fog and driving lights connected to the parking lights, which flash with my Viper alarm, so if I don't turn them off, than the flash with the alarm as you were asking for. Repeated turning on and off wears out those bulbs very quickly.

Personally, I'd just go with a scanner like mine:


It flashes [5 patterns to choose from] when ever the alarm is active.