It not hard to do, there are 2 ways of doing it
1) You can either tap the wire going into your low beams and connect it to your fog lights
2) You can rewire the car from your relays and fuse box. This method is a little harder, but much cleaner. I did this for my friend's e36 328i before, but its been too long for me to remember what I did exactly. It took me a while to trace the wiring back from the relays to the fuses. Take a look at the DIY instructions for fog light instruction for the e46 on the circle BMW site. It will give you a better idea of what is going on.
Basically, you will use the power coming from the relay of your lowbeams instead of using the relay for the fog lights. The ground stays the same.
I prefer method 2 since its easier to undo and maintain's the use of the fog light's fuse.