I have it done on my 01 XJ.
But heres what to do.
Open the hood and find the central junction (fuse box) under the hood.
Take off the lid, it will be marked on the inside what relay goes where. Find fog light 1 and remove the relay.
Once you pull the realy find terminal 1 and remove the terminal, I used a small pair of needle nose pliers and kept bending it back and forth till it snapped.
Reinstall the realy. Fog lights should now work on dim or brights. The relay picture sucks sorry.
Hope this helps.