Depends on the light type you are looking for. Xenons (HID) would actually produce usable light, LEDs would not project light well, but they would be bright enough for others to see
Now if you're talking about LEDs like audi, porsche, mercedes, saab, cadillac, etc, then there is only one person I can think of on here that has done something like it, and that's username laraw. She did LEDs around the headlight housing, not fogs
When I first got my speed I was thinking about doing white or yellow LEDs in the matte plastic around the fogs, but never followed through. I don't have the tools or materials to put the lights around the curves while keeping the diodes alligned. It can be done with sheet metal like tin, but you'd have to worry about protecting them from the elements. And that's what I got stuck on, because it would have to be a custom molded piece to sheld them