I am putting fog lights in my 07 LT right now that has the removable grill inserts. I have the EXACT same problem as you do. On some bumpers, the hole is meant for the light to basically screw in there, while mine will either have to have a build up with fiberglass, or attach the light to the grille inserts themselves. I am doing the whole thing this coming Friday. I am doing the whole factory look, so I had to get a nice wiring harness, a new trim piece, two new fog light assemblies and everything. I will try to let you know ASAP. If I haven't responded by Monday, PM me and I will let you know then.
2007 Chevrolet Cobalt LT. Sport Red, moonroof, HID headlights & fog lights. 35% tinted windows, 6 CD deck, chrome door handles.