Why do I need a Relay, or do I?

I want to add to axillary fog light" type lights to a 2004 Yukon Denali, which will sit on top of the new Brush Guard.

My question is why or if I need to add a relay... I want these light son anytime the headlights (high or low beam) are illuminated.

My plan was to just have the wire coming off the new lights run to the back of the headlights and then I was going to just splice right into the Parking Light hot and cold lead.  So whevever the parking lights are on the new lights would be on too.

It seems like Electrical 101, but to be honest I don't trust my level of knowledge compared to the experts here.

Your advice would be graciously appreciated.

Steve

Do you have any instructions for a complete novice on how to do this?  I'm pretty comfortable with the task...and have worked on all my vehicles, I just haven't done this issue.

For example do I pull power right at the Battery?  When I think of a relay, I think of plugging it into a fuse block where all the wiring is coming up from below in a pre-wired harness.  I've never added a new relay.  Are there terminals on it or something?? Does it come with a new block to plug it into??

I'm assuming from posts I've read that what you want me to do is to pull power from the battery terminal to this new relay that I've got to buy somewhere.   This relay, from what i've read, will have a 12V lead, then a ground, then a hot wire going to the new lamps, and then this "trigger wire" that I must have to splice in in-line on the existing parking lights.  Is that correct??  

When I splice into the parking lights, am I splicing into the Hot Lead or the Ground? 

Is there just one wire coming off the lights that goes to the relay or is there also a ground? If there's a ground do I ground that to the relay or just to chassis somewhere?

Thanks for your help.

You guys have a great resource.

Steve

this should do it.