I found this mod over on clubfrontier, so full credit goes to booth236 over there, but I thought someone might like to see it done on an Xterra. It's all the same of course. This is the simple version of the mod. The switch on the stalk has full control of the fog lights, and doesn't care if the keys are in, the lights or on, or if its raining. You hit the switch, the fogs come on. Just the way I like it.
1. Locating the Relay
In the black box on the passenger's side closest to the firewall, if you pull out the IPDM board and rotate it 180 degrees you will see a plug with large white and red wires. The fog lamp relay is the one closest to that plug. Pull it out, gently, but you might have to use pliers.
2. Soldering to the Relay
Fire up your soldering iron and connect an 18-22 gauge wire to the brass pin as shown. You need just enough wire to get through the firewall, where you can make another connection. If you don't have any heat shrink laying around, a little electrical tape will do, but you should somehow secure the wire to the side of the relay. Plug it back in and run the wire through the firewall. I used the little hole up behind the clutch pedal.
3. Removing the Light Stalk
The steering column comes apart with three screws on the bottom side and a little prying. You can separate the two pieces by hand pretty quickly, but don't bother removing the bottom one.
Press the tabs on the stalk and pull towards the driver's door to free it from the column.
4. Modding the Light Stalk
Pull off the white cover and cut the two wires off at the board. Cover the connections where you clipped the wires with a piece of tape if you want. Extend these two wires by soldering enough 18-22 gauge to run down to the other wire you just ran through the firewall.
Cut a notch in the cover, and run the wires out of the stalk.
Be sure to route the wire out of the stalk away from any moving parts under the dash. Then connect one of the leads from the stalk to ground, and the other out to the relay using the wire you just pulled through the firewall.
I used a ground screw up under the dash behind the clutch start cancel switch.
Thanks again to booth236 on clubfrontier!