Well, after tracing the wires, as others have suggested, I discovered that the wire running from the BJB relay to the SJB was not there. Actually, there is a brown wire on pin 2 of the relay, and you would assume it goes on to the SJB but when I pulled the connector on the SJB it was no where to be found, so who knows where it leads to. The gray/violet wire that runs between the SJB and the head light switch is there. So after looking at the wiring diagram of the fog light circuit and reading about the fog light mod located here:
I went ahead and wired mine up as per the mod instructions and it works perfect. When you pull the fog light switch to the on position, the 12v energizes the relay that you install, which in turn sends a ground to pin 2 on the fog light relay in the BJB which energizes and the fog lights come on. I bought the relay, wire and connectors at Pep Boys for less than $20. It took me less than an hour to do everything. The fog lights will now stay on even with the high beams.
I hope this helps anyone else who wants to add the fog lights themselves.