With your post, advice from other people on this forum and just plain old experimentation, I was able to answer my own question about an aftermarket switch and which wire to splice the power from and only have the fogs turn on when the headlights are on.

Somewhere in the forum area are very good instructions on a 2003 fog light mod with the OEM switch. Following the same directions, but using a wire tap with the blue/red wire (4 pin connector) in the steering wheel harness with the aftermarket's wire switch for power will do the trick. No extra wire through the firewall.