My guess is that it is on a fuse somewhere, there wouldn't be a #14 wire in a factory harness that doesn't have protection on it. Most likely it's combined with other loads and isn't labeled as fog lamps in the fuse panel. There are testers or you just pull fuses one at a time until you lose power there and then you know what fuse it's on. A good place to start is probably other lights, blinkers or stuff somewhat associated with it.
Adding a fuse at the load would help somewhat but you usually try to fuse them as close to the source of energy possible so you protect the entire length of wire (and load). No harm in doing so, it just makes troubleshooting potentially more challenging if you lose power and have multiple fuses on the same circuit.