I don't know that I would mess with the AFM wiring unless you are confident that you can do it without altering the AFM signal.
If you really want the lights on all the time, you can run a wire off of the lead to that small auxiliary fuse box that is next to the fuse box.
Or, even better, install a fuse and lead from that, similar to what I did when hooking up the rear fogs. According to my notes, the part number you need is 61 13 1 370 692. Feed a wire of sufficient current-carrying ability (at least 18 ga) up through the boot that covers the bottom of that auxiliary fuse block, then crimp the connector on to the wire. That connector will then snap in to the bottom of the fuse box, and you can put a fuse in.
Some pics attached.
Make sure you pick the right socket - one of those leads is keyed 12V (only hot when the car is running), the other is constant 12V (hot all the time, even with the car off).