You should be able to figure out which pole on the relay is energized when the headlights are turned on. Once you figure out which one it is, simply cut it, and reconnect it (starting at that relay) to something ignition switched. That way, if your dash switch is on, the foglights will turn on and off with your key.
Either that, or as noted - simply unplug the lights and wire up a foglight wiring harness with switch and relay. There's always a ton of 'em on fleabay.