a relay is simply an electrically opereted switch. its used in places where the switch alone cannot handle the current needed to run a device such as lights. a solenoid (like the one used for your starter or winch) is essentially a big relay. they are not a fuse, but do carry a maximum current rating. they work by magnetically pulling two contacts together to complete the circut. the primary side, which is connected to your switch acts upon a coil inside the relay. the magnetic field pulls a tab or plunger which connects to two contacts of the secondary side. the primary and secondary circuts are wired independent of each other, and therefore the load of the of the sec. circut can be very high while the load on the switch reamins very small. your average generic relay can handle about 30A with only about a 5mA load on the switch. the average starter solenoid is rated for 300A intermitantly. imagine that going trough your ignition switch.
back to your question. id recomend using a relay for anything over 5A, or 60 watts maximum. using a relay everything is a good idea, but just means more wiring. most aftermarket light kits dont include one, and youll likely find the swich gets quite hot and burns out quickly.