visually checking a fuse is pretty useless. break out the dmm, ground one side, turn on the ignition (dont start the car), and check for 12v on BOTH sides of all fuses. the relays should be located at the fuse boxes. under dash and hood. they are little rectangle boxes and usually have pinouts on them. i say to swap them because they usually use the same type of relay for all circuits...so pull the horn relay for example and swap that with fog light relay.
are they OEM fogs? i forgot to ask