There's already a few threads on this topic already however I just wanted to share my own experience with the install.
On my 2011.5 M3 there's no need for the little lego block trick as the button extension is already in there. So technically this mod is FREE
All you have to do is take the button out (I have my own DIY but there's a few good DIY's on M3Post already), then trim off the four little tabs that is preventing it from being functional. Once trimmed the button will work and function fine. The only thing is the button will not have the rear fog light icon as in the euro switch. I prefer it this way so the car still appears stock US spec.
Once done you will have working rear fog lights to help illuminate behind you as you back up or whereever your imagination takes you.
03/08/2011: Updated with Links
Here's my DIY specifically done on my 2011:
Here's links to other DIY's that was provided a few posts down by zhangzeyuandss: