Len - that small fuse is for the dash lights only, but it should be there ... not sure what the 'heavy duty light harness' would be other than having a built in relay, but the relay is a good idea with halogens,
see fifthave electrical here [our knowledgeable moderator!]
and as Jerry says, it'd be worth checking the dimmer sw as well, which might also not like the extra load of halogens
Bill