I would always get a relay with any HID kit. HIDs take a very high voltage to ignite when you first turn them on and the stock halogen wiring is not made for that. While in most cases it works fine without a relay, it's better to put that voltage load on the battery terminal directly, which is what the relay does for you. If an HID ballast fails or starts going bad with some crazy high voltage or something (most of them are really cheaply made after all), it could potentially burn up your stock wiring. A relay has a fuse which protects against this and you are able to protect your stock wiring versus basically zero protection without a relay.
The headlight circuit is fuse protected as well. Hardly zero protection. However, I agree that an HID relay is the best way to ensure that maximum power gets to the ballasts and igniter circuitry.
an standard HID relay harness is no more than 25 bucks an mostly of the time do come with some different lamp sockets for the application
It's much better to have the relay wiring at any potential risk and carrying the power load than the stock headlight wires however. I sorta don't trust the thin 18 gauge stock wiring for anything more than stock bulbs (and maybe modified H9 65 watt bulbs).