Greg:
Most of the time I just use in-line fuses, either cartridge or tab style (whichever I find in my junk box). Last time I installed a relay on Pearl it was for the starter (in case of a weak starter switch) and it was a Bosch with an integral tab fuse (pretty cool, too). I'll check the catalogs now that I'm back in RI and see what I can find. The fuse was in the relay socket, so others must have that configuration, too.
Update, later in the evening:
I checked both Standard Motor Products and Motormite, both of which are pretty much the Bible of the independent auto parts folks, and, although Standard had a fused relay (RY-33 or VW 321906059C for Audi or VW electric fuel pumps) I don't know the contact rating of this unit so I can't recommend it. I also didn't see any fused relay sockets, but those are probably a Bosch item - I'll try to get a Bosch catalog tomorrow and see what they've got, just for the heck of it.
A much better alternative than fuses, however, would be to get a universal mount circuit breaker and put it in-line between the battery and the power input to the headlight relay, mounted as close to the battery as is practical. Standard Products BR-15 (15 amp) or BR-20 (20 amp) are breakers which have a housing mounting tab to enable easy mounting, and it has two stud terminals (they look like standard 3/16" dia. studs) for a ring-tab crimp terminal for the power leads. This way, if you short something while installing/testing them out, the breaker pops and then resets after a few seconds - MUCHO better than a fuse!
In fact, the perfect solution for BOTH heavier wiring AND headlight relays, in my opinion, would be an H4 headlight conversion kit from Painless Wiring, down in Texas. You can check out their wiring kit at:
www.painlessperformance.com/webcatalog/cat-headlightrelay.htm
and look for the #30815 - For H-4 halogen bulbs. This kit is almost exactly the same as the conversions I've done in the past, they include everything you'll need AND everything is pre-wired with a special socket you simply plug in to an existing headlight socket to act as a signal feed (on, Hi/Lo beam) for your new higher-powered circuits. Nothing could be easier, and it shouldn't take more than an hour to completely finish this conversion, even for a novice.
Gordon