David,
The point of fitting relays is to free the (aged, rare) switch from carrying the electrical load of the device being powered by the circuit. It follows, then, that the the longest wire is the thin one that routes the switching power from the switch output to trigger the relay, and the shortest wire routing the main load to the device in this case, the headlamps, from a live feed via the relay to the lamps. You put the relay close to the device being controlled. However, if you are not increasing the load on the circuit by fitting etra-bright bulbs or extra lamps, the issue does not really arise. If you had a bank of driving lights that you wanted to switch on with main beam (e.g. for rallying) then that's when a relay does the job for you without burning out the switch.

Modern manufacturers like relays because thin wire is a lot cheaper than thick wire, so you use it for all the switching circuits and you can run one fat wire to the relays to feed the circuits.

These days if you fit LEDs, the load is so small that, again, the issue disappears.

The stock lamps should be 40/45w - max 7.5 amps for 2 bulbs.
I have been using PL700 lamps (modern Repro's) with extra high intensity xenon 55/60w H4 bulbs for years (10 amps for 2 bulbs). Never fitted any relays. Assuming your loom is in reasonable condition, I wouldn't worry about it.

If I recall correctly, Lucas 7" sealed beam headlamps were 55/60w, the same as the high intensity bulbs.

If you are really worried about overloading the wiring, add an extra cable from the fuse box (always live fuse) to the light switch A terminal, and another cable from the switch S2 terminal to the dip switch. This will help carry the extra current to where it splits into two. Personally, I wouldn't bother though.

Goffy quotes £12.95 for quartz halogen (QH) pre-focus 60/55
and for QH side/tail 5/35 Part no BAY 15d.
Side lights (LED) are polarity sensitive LDBA9DW £4.00

Thanks for that information. My main difficulty now is trying to work out where to locate the relays...upstream before the loom bifurcates to the headlamps. I think I have the terminals etc sussed out now!

David, a couple of sources that have proved useful

Goffybulbs - this guy provides all sorts of 'odd' bulbs, including halogens that fit pre-focus lamps. (NB I haven't tried these personally, though I keep meaning to).

Bosch Terminal Designations (downloads a pdf) - gives a meaning to all those numbers that are embossed by relay terminals (& elsewhere).

As ever, not as simple as I thought! The MGB set up shows the relays wired between the Dip switch and the lamp units (logical!) but on my ZA it is not clear where the (single) wires from the Dip switch (which seem to disappear into the loom and then emerge as two sets of wires onto the L & R inner wings!
There has to be a pair of connectors somewhere to effect this split, but I can't see it!
It would be good to fit relays to the Spot & Fogs also. Any ideas how?