Craig - on my type-r donor, there was no relay for the O2 sensors, all wires went directly to the ecu.
On standalone ECUs I've installed in other cars as a matter of routine I've installed relays for the lambda heaters, as I didn't fancy flowing teh current through the ECU. I was toying with doing the same with the Honda ECU just to be sure I didn't zap it.
I believe the JDM / US cars have relays, as they work with the wideband lambdas, which have different power requirements. I might be wrong though.
The 2 PGM-F1 relays on my donor were wired in exactly as shown on the wiring diagram document posted above.
There's a constant fused 12v feed to pin 30 on relay 1, an IGN-1 feed to pin 85, 86 goes to the ECU (which switches to ground when the ecu see an IGN1 feed on E9). Pin 87 goes to pin 30 on the second relay (fuel pump). The other pins on the second relay are as follows: pin 87 to the +ve side of the fuel pump, 85 is linked to pin 30, and pin 86 goes to the ecu, which again grounds when activating the fuel pump (2 seconds when first turning the ignition on, and then continuusly when seeing a crank signal).
It's certainly quite a brain teaser sorting it all out! Check out the laughably messing current state of my wiring.
http://www.johndry.com/gallery/main.php?g2_itemId=8479