Do you want to still use the multi-function switch to power your lights, or did you install another switch?
I wired a new switch for my fog lights and connected the wire going into the multi-function switch to my new switch. I believe the color is white with an orange tracer.
Edit, found a link with more info:
Originally Posted by 00stephen
Your self-illuminating foglights are indeed due to a malfunctioning Multifunction Switch. It's a part that commonly fails; a forum search indicated Chrysler used the same switch on PT Cruisers, and fails on those too. How do I know this? I just came inside from replacing/bypassing my MF switch on my 2002 Sahara tonight.
As commented above, leaving the turn signal in the "left"/down position -- or perhaps 'right'/up, as described above -- will prevent your fog lights from lighting up when you're away from your car (and yes, they *will* do that if the short in the switch gets progressively worse), and draining your battery. That's a stop-gap fix though, as nobody wants to see your foglights flicker on and off as you're driving down the road. ;-)
A permanent fix would be to replace the $125 switch. An alternative to that costly endeavor (why replace an expensive failure-prone part with the same expensive failure-prone part?) would be to re-wire the switch to a factory Jeep foglight switch in one of the three slots above the cigarette lighter -- some years TJ's had a foglight switch there, next to the hardtop washer and defroster switchs. I've seen them on ebay, and you could probably find one at a pick-and-pull or order one from the stealership. Personally, I chose an even cheaper alternative: I wired the lights to a $3.99 toggle switch I mounted near my other matching $3.99 auxilery light switches.
If you choose to bypass the turn signal stalk by using one of the alternative switches described above, simply undo the two halves of steering column shroud by unscrewing the two deeply set Phillips screws underneath. Slide the bottom half of the cover off first, and then the top. On top (not the side) of the steering column, there is a grey connector with about 20 wires in it... disconnect it. There is a black piece along the front and sides of that grey connecter, pull it off. At that point, you can pull individual wires out. Pull out the white wire with an orange stripe; that white/orange wire leads to your foglight relay. Replace the black piece on to the front of the grey connecter. Using a factory or aftermarket toggle switch of your choice, hook that wire (you'll almost certainly need an extension) to one terminal. On the other terminal, hook up a "battery on" accessory wire (eg, cigarette lighter power wire, red radio wire). Replace all connecters and reassemble the plastic steering column clamshell.
By using this orange/white wire, you'll maintain use of your factory wiring and relay, and the green foglight indicator will still illuminate when you use the toggle switch. Doing this will also allow you to check the conditions and connections of the other (turn signal) wires while you have things disassembled.
Best of luck with however you chose to proceed.