Whaler,
I suppose the correct answer would depend on what wattage headlights you plan on running. If you are going to use high power bulbs, the use of relays is paramount. And if you plan on running regular headlamps, I would still recommend running relays for two reasons. First, you never know when you will want to install better bulbs. Notice I didn't say
if, but rather
when 
. Second, the relays will prolong the life of your light switch(es) dramatically.
Since you are still in the build stage, it is quite easy to wire the headlamps properly with relays and the cost is minimal--maybe an extra $30, or less if you shop around for bargains. Here's a good article on when relays are needed and how they are wired to control the headlamps:
http://lighting.mbz.org/tech/how_to/relays/
Notice you need proper fusing in the high current side of the relays. This will come directly from your fuse block or you can wire in separate in-line fuses if you don't have enough spare circuits.
Read that article and then ask any remaining questions you have. Good luck.
Mike