You have after market horn and switch. What is the relay?
Horns generally don't have polarity, but if it has two terminals it could. When you tested it with the battery, you connected one terminal to the hot side and the other terminal to the ground side.
The ground side terminal goes to any good ground (the body or frame).
The hot side goes to 'horn' on the relay.
If it worked either way when you tested it, it doesn't matter which terminal is which.
a relay with 3 terminals, one says "switch", one says "horn, and the third is for continuous power
Horn to the 'horn' terminal as stated above.
Hot side of the power to the 'power' terminal.
'Switch' terminal to either side of your switch.
after market horn button with 2 terminals
If you've followed the above, you have one switch terminal that is not connected to anything, the other goes to the relay.
If the relay is a conventional horn relay (likely based on the labels), you connect the last terminal on the switch to a good ground.
My EZ wiring system has a green wire marked "horn".
If you follow what I've outlined you can ignore the EZ connection. I've never used one so I'm just assuming I know what it is. I could be wrong....
Does the EZ harness have the plugs for a GM steering column? If you have the column and horn button the harness is designed for you might want to connect that green wire to the 'switch' terminal on the relay instead of using the switch you've bought.
If you still have trouble I'd bet your ground connections need to be double checked. Its also possible your horn relay is different, and that instead of grounding the switch, it needs to be connected to power, but that seems unlikely.