I think I understand that, so my earth stays earthed, and my ign live goes to the relay which then goes to a permanent live, and ign live and an earth?
Kind of, but it's easier to understand if you turn it on its head a little.
If you introduce a relay, you will need 3 wires entering the relay from the fusebox area:
-Ignition Live (goes to pin D9 in CE2 fusebox if using VW loom)
-Permanent Live (original loom plugs into one of the red connectors on the top corner of the fusebox)
-Earth (plugs into one of the spare connectors below the steering column)
As you currently have no relay, you will only have two wires coming from the fusebox area - the earth, and then either a permanent live or ignition live depending on where you wired it up to. On the loom that I removed from my car, the person who installed it had spliced into the heated rear window live as this is one of the few non-essential circuits that carries sufficient current relatively safely (though not sufficient enough as he had to put in a higher rated fuse)
So if you do install the relay you will need to run the extra live to the fusebox.
You then have one live and one earth coming out of the relay, going to the switches
By the way - the diagram looks slightly wrong to me - the fuse should be between the fusebox and the relay, the earth from the switches should return through the relay and in addition the loom is independent of the parking lights (the switch illumination is part of the ignition live circuit and therefore the switches always illuminate when the ignition is on. Oh, and I suspect your switches are the correct ones.