I've connected both of my relays to where the blue arrow is pointing. But now that auditatious pointed out that the red arrow would be easier... I feel stupid.
http://motors.shop.ebay.com/merchant/hid4today
^That's the guy I use. If you search e-bay it seems pretty much everyone offers about the same product. (at least by looking at the pictures) But this is the guy I've ordered from and have always been happy.
I also used a relay to run HIDs to the fogs off of the passenger side and no problems yet. *Knock on wood*
Only bad thing is if you start your car with the headlights in AUTO position... sometimes all four bulbs won't light up. I always turn my car off with the lights in OFF position and once I turn the engine on, I turn the lights to AUTO. That method has never failed me yet.