Toyota Celica DIY

Here’s an easier way IMO: easier to access wires and offers full control with Auto off.

All you need is a relay ($2-3) and some wire.

Instead of grounding (and turning on) thru the low beam indicator circuit as it is OEM, it is grounded to it’s own ground (you can also use the ground for the switch) and this ground is controlled via a relay attached to any 12V switched supply (i.e. cig lighter)
This way when you remove the key, the relay loses voltage, opens it’s contacts, breaking the ground for the fog lights and they shut off. You could of course turn them off via the switch.

This could all be done right in the steering column.