i believe, basically you need the relay to regulate the voltage and current that is needed to activate the switch to turn on the foglights, it also protects your foglights from power surges and short circuits.
it's almost works like an on/off switch, but not really.
A relay is an electric on/off switch. It's mainly used for high amp applications. The main reason to use a relay, is that the relay coil doesn't take anywhere near as much amperage to turn on/off as the fog lamps would if you hooked them directly to a switch. In short, you are able to use a smaller amp switch to switch a high amp circuit on and off. A relay does NOT regulate any voltage (in order to regulate voltage, you would need to use either a voltage regulator, or a resistor), it does not protect against any type of surges, and it doesn't especially protect against any short circuits (although if something does short circuit, it could blow the coil in the relay, killing the connection, but the short has to be on a high enough amp circuit... Low amp circuits most likely will not blow the coil).