I think this might have been discussed here at one time, but I don't think anyone actually did it. I have been wanting to do the quad headlight mod (lows stay on with high beams) so I decided to check it out.

This is how I got it to work, it is extremely easy and only cost a couple bucks for the diodes from radio shack. As of right now, I just literally jambed the legs of the diode in to the sockets for the headlight mini relays, and it works fine. If it keeps working (no fuses blown, fires, explosions, etc.) I will probably either solder the diode to the relays, or solder it underneath the fuse panel. Here is a diagram from my '06 3500. I am assuming '03 up are similar and the others could be done too. The diodes are part #276-1103 and it is a IN4004 Rectifier Diode. Honestly, I have no clue if those are the best for this application, it is what I happened to have here. (and I am not an electrical guy)