First off, let me warn you that I'm new here and new to BMWs. I've only owned my 95-318ti for about 3 months now.
Anyway, my 318ti also did not come with fogs installed. When I had it in for some other minor work at a local mechanic (this guy came over from Germany and use to work at a BMW repair station there) he checked mine to see if it was prewired... of course it wasn't!!!
He said he had done the installation before but didn't recommend it. I think he estimated the labor at about 2 1/2 hours... you do the math, the cost climbs up there pretty quickly even with his lower-then-dealer labor rate.
The kit can be purchased from the dealer with all the wires, switches etc.
One thing I did read somewhere, not sure if it is true but it seem reasonable...
If you just hook the fogs up to another light (splice them in) that you run the risk of getting a false error code!!! The onboard computer would read this situation as too much resistance in the circuit. I'm not sure if this is true or if certain older cars don't have to worry about this.
Hope I didn't muddle things up too much.