Jimm,
I did some reading into this a while back. On the Gen II cars the wiring that would be used for the rear fog lights is used for the rear side markers. I think Gen I cars are similar. There is no space available on the tail light electrical plug for rear fog wiring.
The headlight switch RF indicator light is a 1.2 watt lamp. I forget the model but it's the same package as the lamps for the other dash backlights, the little thin kind.
If your switch doesn't have the socket you need to replace the switch. One from a late W124 will work. You can get the tail light socket from another W126 / W123 at the junkyard.
http://www.peachparts.com/shopforum/diesel-discussion/274769-started-out-rear-fog-lamp-install.html
While you're back there make your brake lights brighter too:
http://www.peachparts.com/shopforum/diesel-discussion/297456-%246-brighter-w126-brake-lights.html
(I wouldn't use the high output lamp in the rear fog, it's bright enough with the standard lamp.)
-J