In general, the purpose of using the relay is to shorten the circuit from the battery to the headlights (and maybe to use heavier gauge wire). The idea is that there will be less resistance resulting in more power delivered to the lights (i.e. brighter lights).
They aren't necessary, by any means, just one of those "upgrades" that some people do. My '54 has an original-style harness and I think my headlights are plenty bright.
