What sort of relay are you using?
I've just fitted an "intelligent" relay that auto switches when the dynamo starts producing enough voltage. BUT, fitted as supplied, it was actually connecting at too low voltage (with the engine off, in fact), so it would have had the effect of draining the vehicle battery. I took it out of its case and adjusted it so that it kicks in when the engine's revving good and hard. Youreally need ameter to check - mine switches in around 14V now (the battery will be at around 12.8V fully charged).
If you have a standard setup of a relay switched from the ignition light ciruit, make sure that the swicthing voltage comes from that - not as per a diagram that is often on this forum that has it connected to the ignition switch. That way, if you have the ingition on whilst the engine is stopped, you don't drain the vehicle battery.
Cheers,
Nick