I've done this mod on my '96 and I did it for my '05 as well. I think the tail lights look a lot better if all of them operate as both brake and directionals.
It's relatively easy to do. What you need to do is replace the inboard lamp sockets with ones that have the extra pin for the brake/directional signal. You will find that the bulbs actually have the two filaments in them already. You can get yourself a single socket, remove the pins and insert them into the stock sockets, but this is kind of a pain.
What I did was a little more expensive, but not much. Get a tailight wiring harness (either right hand or left hand) from your Ford dealer. I think the cost was around $40. It includes the wiring, plug, and three sockets. In other words, the whole wiring set for one side. Cut out the two sockets that have three wires connected and use them to replace the stock inboard sockets that have only two connectors. Leave yourself about 12" of wire. You can pretty much figure out the connections. Make them the same as the other stock connectors. I think the color codes will be the same. My advice is to solder the connections and cover them with electrical tape.
The hardest part (for me) was getting all the trunk liner parts out so I could get access to the lamp housings. And, figuring out how to open those tricky little connectors. You need to disconnect the tail lamp connectors so you can take out the whole assembly and work on it at the bench.
Take your time, be careful to check the wiring with a multimeter, and I think you will like the result.