Re: Legality of running with dual headlights and both lights being on. This is legal, as long as no more than four lights in the front of the vehicle are on at any given time when the high beam switch is on.
Many manufacturers with dual beam/dual bulb headlight systems have produced cars with this function that meet all DOT legality requirements.
Retrofits of DOT approved headlamps (such as the Hella modules and the like) also fall within the legal requirements and are acceptable for use on the highway in all states according to Federal DOT requirements, which supercede those of the state.
If you add driving or fog lights to your vehicle in addition to dual beam/bulb fixtures, you can not legally run the driving/fog lights while all four headlights (low AND high beam) are on in many states.
This can easily be modified into an existing wiring diagram to allow the driving/fog lamps to turn off whenever the high beams are on.
Your comment about a diode running from high to low to keep the low beams on when the highs are engaged is correct. This is exactly what I did and do on harnesses. You can also modify the headlight switch to support this, but a diode sealed into the harness is much cleaner and easier.
Re: the headlight harness information, see this image below. It is what you are looking to do, and works great with all dual beam setups. This is the schematic I created when I was manufacturing headlight harnesses for the 90MM low profile headlight kits.
Note: The information on the Diode was updated in a later post in the thread, as I had listed the wrong part in the image. That thread is located
here.

[This message has been edited by Synthesis (edited 05-16-2016).]