Answer:
switch, relay ,light. use a separate relay for each light. switch sends power to relay, relay turns on light. the relay is so that the switch doesn't have to handle the power a headlight requires. auto parts stores have fog light wiring kits that come with all the parts you need, but they usually only use one relay, I always use two. there is a diagram here.
http://www.rowand.net/Shop/Tech/imagesHeadlightRelayWiringDiagram.jpg