Just wanted to say "thanks" to MikeNH for his detailed write-up. This was much easier than it has been to do the same on Honda's I've owned, but there's still a few places where the instructions could be a little more clear and Mike's post helped immensely.
I just want to caution anyone doing this to be gentle with the tabs on the foglight assembly - they are brittle and will break easily. Unfortunately, I learned this the hard way - I had the fog light oriented in the hole badly and broke one of mine off. I was able to fix it (hopefully permanently) with a bit of generous Krazy Glue, but I could have easily prevented it by taking a little more care with the way the tabs seat into the bumper cover.
Also, heed Mike's advice on opening the apron below the bumper cover. It takes just a minute, and since the lamps have to be installed BEHIND the bumper (not all that clear from the instructions), you definitely want to be able to have plenty of access - and this will do the trick.
As far as effectiveness (in case anyone was wondering), the difference is dramatic - I would say "night and day", but that might come across as a rather bad pun
Seriously though, the projectors are decent headlights, but they have a very harsh cutoff and the fog lights do a great job of filling in the gaps. Well worth the $215 or so it will cost you through one of the online dealers that sell Subaru parts.
We still love our Legacy after a year and a half or so of ownership. Would buy this car again in a heartbeat.