By the sounds of it it is the switch in the stalk, not the relay. You can get them to turn off by playing witht eh lever. As the old Marine aircraft electricians used to say, "When it's at is where it's at." You mess with the swich and things change, gotta be a clue.
A suggestion, if you want to keep a factory look to your Jeep. Go to a JY and find a newer Cherokee with fog lights. The fog light switch that they use is the same one that the first year or two of the TJ used and it will fit directly into your switch panel. Just make sure that you use the switch to control a relay that powers the lights, not to run power directly to the lights.
I know your rite I seid the dealer seid the same thing as you and that I don't want them there , but I was asking another qeustin as in what do I do about the slots in the brackets couse if I just put a bolt in there it will slide back and fourth but again thank you all knowing and powerfull jeep god sorry us lesser jeep peeons might have some more qeustins in the future , so please if there to much for you sit back relax go to the next post