Maybe go through what you've done step by step, with photos, diagrams etc. if possible.
Did you just change an existing switch, or have you broken into the rest of the wiring.

The original switch should have 2 connections. One will come from the main lighting circuit and will be live when lights are on. This will then feed into the switch, and the other side will then feed to the fog lights.
The illuminated switch should have 3 terminals. 2 of them will be a switch. the 3rd will be the ground for a bulb, the other side of which will connect to one of the switch terminals. The common terminal (goes to bulb and switch) should go to fog lights. The bulb only terminal should go to ground and the switch only terminal should go to the incoming live.
Alternatively, the switch may have 4 terminals - 2 for bulb and 2 for switch. In this case, wire 1 bulb terminal to the switch terminal which goes to the fog lights and wire the rest as above.

Would be easier with a diagram but I can't be bothered drawing, scanning, uploading to photobucket etc. at this hour.

You also need to be sure that the switch is capable of handling the load. Single rear fog light will be 55w which is about 5Amps so you want at least a 6 Amp switch. If you wire up the rear brake lights using diodes (this looks much cleaner than having a light hanging off the rear bumper) then you will have 2 X 55w and will require a switch that will cope with more than 10Amps.

I have just had to replace my fog light circuit and I have used a small relay so that the switch does not see the full load. I have taken the feed to the switch from the lighting circuit so that the fog light can only come on when the tail lights are lit. This way my small switch can be used for dual fogs without melting and the fogs come on with the lights if the switch is at the on position!:wink:

The dual filament bulbs are normally 21W (2A ish) for the bright filament, so a total load of 4A. Most automotive switches should cope with this.

LED bulbs will take much less current so shouldn't cause an overload when you change.

The normal trick for adding fogs is to feed brake light signal through a diode instead of cutting the wire altogether. this will then avoid the lamp failure warning by lighting all 4 bulbs on braking. You will also need to feed your fog lamp signal through a diode to the bulb to avoid a back feed,

(diodes allow current to flow one way only)

If you need a diagram, I'll draw one & post it.

The dual filament bulbs are normally 21W (2A ish) for the bright filament, so a total load of 4A. Most automotive switches should cope with this.