Fog Lights on with parking lights
 

Does anyone know how this is done on a mazdaspeed 3?

you mean it's a stock feature on speed's?
There are a few other posts on the fog light thing, i'm about to add onto one of those posts once I take some pics of my setup.

check thread https://www.mazda3club.com/mazda3-mazdaspeed3-99/fogs-w-out-headlights-44332/