The following is the procedure for modifying your OEM fog light switch to light up a different color when the fog lights are on. In order for this modification to work properly the "fog light always on" mod must be done. The reason is that the relay drops the output line from the switch to ground if there is no power to it.
**Disclaimer** Do this modification at your own risk, this is for information purposes only! Damage to your electrical system could occur. **Disclaimer**
Parts Needed:
Small Flat Blade Screwdriver
Soldering Iron
Solder
3mm LED for illumination (normal light, switch off, desired color)
3mm LED for "On" (switch on, desired color)
Resistor 110 ohm 1/4W or desired output.
Drill
Drill bit (size of cathode of LED)
Shrink tubing.
Here is the switch and pin layout. If you have the switch laying with the light bulb side up, then the pins from right to left are; +12V illumination, Ground, Switch output, Switch input.
1 - Remove the light bulb. Quarter turn counter clockwise and pull up.
2 - Using a flat blade screw driver, unlock the tabs holding the Top of the switch (4 tabs) and remove the top.
Here is the bottom side of the Top.
3 - Drill a small hole, from the bottom side of the Top, inline with the output pin. This hole only needs to be large enough to have the cathode of the LED fit through. This is where your "On" LED will pass through and connect.

View of LED cathode on top side of top.
4 - Tin the electrical connections. You want to do both contacts for the light bulb, and there is a small hole that makes contact with the output pin.
5 - Take your resistor and bend it into shape. You want to have one lead from the resistor make contact with the +12V illumination contact, and then drop to the bottom of the Top piece.
6 - Solder in the resistor. I added heat shrink to eliminate any chance of shorting on the ground connection.
7 - Take your "Off" or illumination LED and bend the cathode in two 90 degree angles, so that the LED will point to the front of the switch (button) and the cathode will connect to the ground connection.
8 - Install the "On" LED, sliding the cathode through the hole you drilled. You may need to cut the cathode down some. You want the LED's to sit side by side. Bend the cathode down 90 degrees so that it penetrates the hole that you tinned on the output pin. Solder the cathode.
9 - Solder the anode of both LEDs to the resistor and cut the excess.
*NOTE* in these pictures I have the anode connections low so that I could take the picture. These should be tucked as close to the bottom of the Top as possible, otherwise the switch will not lock and unlock properly.
10 - Test your solder job and make sure that the LEDs light up. I use a 9V battery.
11- Slide the Top back down onto the switch (carefully) and turn on the LED's. You want to make sure that they are aimed properly and at the icon on the button. If not then you can pop off the button and aim them by moving them to the desired location.

*NOTE* if you are using a brighter color i.e. white for your illumination then you might not want the LED pointing directly at the icon. The illumination LED will not turn off when the switch is active, but the indicator LED will turn on in addition to the illumination LED. A brighter LED will oversaturate the indicator LED if they are aimed at the same location.
Illumination
Indicator
Both (typical condition for switch on) In this case, the white as the illumination was oversaturating the blue, so I had to aim the white away from the icon. Final product had more blue when the fog light was on.
Test your switch to ensure it locks in the On postion and then turns off. You can test this using the 9V battery connected to the +12V illumination and the switch Input pin. Press the button on and off and see if the light works.
*NOTE* The switch is designed to work on its side, as if it was installed in the vehicle (light bulb to the right).
Scroll down for more pictures and a video of the fog light switch in action.