I had a 2009 S and have a 2011 SL. Both came pre-wired for fog lights. If you use these wires, it's ideal to purchase the switch containing the headlights, fog lights, and turn signals. If you don't, you'll spend countless hours trying to find a pin-out, wiring diagram, soldering points, etc. I went with the OEM switch on mine. It will NOT allow you to activate the fog lights by themselves nor in parking light mode. I'm sure there's another pin-out/solder situation to resolve that as well.
If you do not want to use those wires, which might prove to be less costly, then you certainly don't have too. I did that in my 2009. Aftermarket let's you turn them on and off with a switch easily and independently. You can use a rotary tool to cut out the factory fog inserts with ease. I suggest a Valeo Lens over any other Chinese lens as I went through 3 sets, even Spyder, that cracked. Valeo's cost more, but not more than 3 Chinese sets.