In theory they should come with the loom. If the motors are in good nick you can actually wire it up without one, my kit was like that for nearly a year before I got a proper fuse & relay holder from a scrapped MK3!
Edit: The relay you need is any bog std switched relay, e.g. the type used for fog lights, headlight upgrade looms etc.
Wired up like so:
30 - permanent live (30amp or thermal fuse)
86 - to electric window loom
87 - ignition live
85 - ground