Well, the combonation switch in the stalk was fried when I got my car, so I rewired everything with 14ga wire and did it with switches. It's clean, but it's basic.
If the combonation swtich worked, I would have replaced the relay with a relay that keeps the low beams on when the high beams are on. As you'll find out, the stock relay shuts off the high beams when the low beams are on, and vice versa. If you wanted, you should be able to run dual relays and weird stuff to make it work, but chances are, you'd be better off doing a little digging and finding a relay that works correctly.
On my old bimmer (we're talking '81 model here), the headlights had separate high and low beam relays. Nothing wrong with doing it that way, just make sure that whichever way you go about it that the wiring job is clean and well insulated. Headlights pull a lot of power.