It is simple to do. I did this in my truck... Haven't done it in my car yet.. Thinking about having it setup to have the fog on with the brights... Since I am using LED fogs so they actually do something. (I use them mostly to see whats to the sides of me. AKA Deer..)
If you understand how relays work this is an easy job for you.
The relays have a power side (2 or 3 contacts depending if it supports both NC and NO positions or just one of them), and a switch side (2 contacts) The relays normally have a picture on the side of them that show which pins go to what. Should look similar to this...
So what we care about are the 85 and 86 terminals. How GM does this is they apply power to one side of the coil and the other side goes to the controlling module which provides the ground.(in most cases the BCM).
It will connect the circuit when one side of the coil has power and the other has ground. The BCM can handle powering a couple of relays just fine. My truck I have the DRL on with the Headlights and I have all of the lights come on when the brights are on (Including the fogs).
Find some Small Diodes. You will pass VERY little current through them so the smaller the better. You will also want to have some wire to solder on each side. What I did was encase the wire and diode in heat shrink tubing where I could still see the Line on the Diode. (I just remember to put the line on the side of ground.) Since then i would have been better off running a red wire to the non-white line end and a black wire from that end. You want to then connect the diode between the Negative side of the coil on the relay you are going to trigger from to the Negative relay you are powering up. The part I forget is which side to put the white line on. You use the diode so you are not backfeeding through the relay and pulling on whatever relay you were powering from whenever the lights you want on are on. I want to say you want the white line aimed at the lights you want to power, that would prevent the backfeed. If I power a relay to run aftermarket lights I always just pull off the powered side of the relay to the power side of the coil on the new relay and ground out the other side on the new relay. This way I am still using very little energy but not adding any extra draw to the BCM. If I shorted out the wire at any time to the new relay with this method I would blow the fuse in the fuse box. if you were to power the new add on relay directly from the BCM it will work, but if you short it out you fry your BCM since it does not have any external fuses protecting its outputs. But within the fusebox, as long as you understand what you are doing, you won't blow anything.