OK, first you'll need a new relay. I guess you could use the factory one, but the terminals are small for most crimp terminals.
Remove the steering column cover and find the conncector that goes to the column switches. You're going to cut the RED wire, it's between a white and a blue one. Tape off the side that goes down the column because you won't be using it. Ground the side of the wire that goes into the connector.
Cut the blue wire (beside the red one). Tape off the side that goes down the column. The other side (that goes into the connector) needs to have a wire attached to it and then connected to terminal #85 on the relay (there are numbers on the bottom of the relay)
Run a wire from #86 of the relay to the ignition wire at the ignition switch. It is yellow. Don't cut it, just use a knife and strip a little of the insulation off. Wrap the new wire (stripped about an inch) around the bare ignition wire and tape it. It's best to solder, but for some people that is not an option.
Run a wire from #30 to the battery (this is the right way) or to the green wire at the ignition switch. I really don't think you will have a problem doing it this way, and it IS quite a bit easier. This wire will also need to be fused with a 15A fuse.
The last wire, #87, will need to be tapped into the white wire at either of the fog lights. This will turn both of them on. If you buy an aftermarket relay, you may have a terminal #87A. Do not connect anything to this terminal.
This setup will not use the "battery saver" equipped with the Sorento. Instead, when you turn off the ignition the lights will turn off. It's close to the same because it will prevent them from staying on and draining the battery, but doesn't use the same system.
This setup will also allow you to keep the factory fog lamp switch in use.
If you have the option, I highly recommend checking the wires with a multimeter before you tap into them. I have not done this mod (though I do like the idea and I will put it on my "to-do" list) and all of the wire colors are from wire diagrams, which on occasion are wrong.
If you have any problems or questions, just post and let me know.