That is not entirely correct. While it is true that since LEDs are solid state or silicon based, so their "filaments" do not generate much heat, high powered LEDs do generate alot of heat.
Luxeon emittors, which are the LEDs used by most all high quality maufacturers (and almost all OEM tailights), have metal heat sinks to dissipate the heat generated by their circuitry.
Krstopher - the LED tail light bulbs you have use luxeon emittors, and that beefy metal jacket surrounding the LED is the heatsink:
I doubt those LEDs put out enough lumens for them to be effective as driving/fog lights, they would be for looks only. For LEDs to output enough light, there would have to be alot of them mounted inside the fog light housing, and once they are all wired together would probably use more power than a concentional bulb - at least for now. Advancement in silicon transistor technology will eventually make high lumen/low power leds, and it may be soon.
LEDs just cant compete with HIDs at their current level, once that changes it'll be a different story.