First, welcome to the site and congrats on your Jeep. The fog light switch is located where you turn on your headlights. If the rotate the switch at least to your parking lights, give it a pull and it will come out and click. This will turn on the fog lights. Same thing if you turn the switch to the headlight position. You can not pull it out without any lights on though. You at least have to have the parking lights on.
As for the headlight delay. I have no clue. They should turn off after 8 mins. I'm not sure why you wouldn't want them too. A dead battery sucks.
Anyways, maybe you can look here: http://www.jeepforum.com/forum/f28/liberty-service-manuals-801654/
You might even find an owners manual. Good luck.