Think of a relay as a remote controled switch....that is what it actually is. For the horn circuit, the power to the horns is delivered by the wire going to the horn....so it must safely carry the current to the horn.....in your case, 20 amps or less. However, the wires in the steering column may not be big enough for the 20 amp capacity......so a relay would be proper. The horn button would control the current to the relay and the relay would control the current to the horn. Usually, the horn relay is mounted close to the horn so the larger wire length is minimal. Since horns are on for a very short time, the wire heating up is not an issue

For the driving lights, the same applies. If your switch is rated for more than the current draw of the lights, you dont need a relay but you do need a fuse on the power side of the switch....if the switch shorts out, you want the fuse to blow to protect the rest of the system.