Ahhh, it is not illegal. I have done it on my old P5 and my MSP. I even replaced the sidemarket lights to SuperWhite bulbs.
Here is how you do it for the MSP.
a) Take a 4ft length of black 12-gauge wire and a 4ft lengh of red 12-gauge wire, and using electrical tape, wrap it completely leaving 4" at either end.
b) Carefully, remove the sidemarker assembly and "cut" the factory wires.
c) Using the new wire harness you just made, attach the black and red wires to the sidemarker light.
d) Fish the harness assembly up over the wheel wells to the rear of the headlights.
e) Using the black wire, tap the black wire on the parking light. This is ground.
f) Using the red wire, tape the green/black wire on the parking light, this is +12V.
g) Furthermore, if you want your parking lights (corner orange ones) to act the same, wire in parallel.
When the parking lights are on, so are the sidemarkers and the corner parking lights.
When you have the parking lights off, and turn signal, the center parking light, the outer parking light, and the sidemarker light blinks in unison.
When you have the parking lights on, and turn signal, the center parking light blinks - and then alternates with the outer parking light/sidemarker light in unison (similiar to GM cars).
Definitely a touch, not ricey, and saved my a$$ more than once on the highway.
- Brian