http://www.bcae1.com/relays.htm
Read that - it should help. Seems like a decent write-up...
Anyhow, if you're running your lights without a relay, you're probably overloading your switch, you've definitely made the path for power too long, and you're probably restricting power input to your lights. The purpose of a relay is to allow a small (and sometimes remote) switch to trigger a much larger load, and is usually put somewhere (physically) between the power source and the load. This will allow you to get away with using a much smaller switch (or fancier, if you like,) and rather smaller wiring for the long runs, since the high-power circuit is relatively short, physically speaking.
You'll essentially want to wire the relay up thusly (it's also explained in the link I gave you above - I think - I've only scanned it):
Wire up one side of the "coil" of the relay to a convenient ground - sheetmetal will do neatly.
Wire the other side up to your switch - this provides the "trigger" - and wire the other side of the switch to +12VDC. This makes for a "hot-switched" or "positive switched" relay - putting the switch between the relay coil and ground would be "negative switched" or "cold-switched" - more common in imports, I think. I prefer to switch the hot side.
A Bosch relay usually has THREE load contacts - common, Normally Open (NO) and Normally Closed (NC.) The status of the NO and NC will reverse when the coil is energised (the NO terminals will close, and the NC terminals will open.) Usually, just the NO terminals are used.
Typically, the power source is wired to the common terminal (#30, I believe, on the Bosch) and the load is wired to the NO terminal (which is, I believe, #87.) The coil and contacts are not polarised - you can hook them up either way - but the high-power side plan I gave you is convention, and should be done that way (it doesn't need to be, but it should be.)
That's the short form of the link - the link also explains how relays work (and why,) and why they're used. If you still have trouble understanding, post or PM and we'll see what we can do to make it easier for you (getting started in electrics isn't easy. Learning about more electrics when you know the basics is. Once you've got the basic principles sorted, you'll find it gets a lot easier...)
5-90
