You can wire diodes in with your relays, or some relays come with them wired up internally. The idea is that anything with a coil of wiring in it acts as an inductor, whos job is to maintain a constant current. This becomes a problem when you're driving a relay with electronic circuitry, because when you shut the remote wire to the relay off, the coil inside the relay tries to maintain a constant current, which results in an infinite voltage spike. When this high voltage meets complex circuitry, it can burn components out. In your case, though, since you're just controlling the relay with a simple switch, the most that can happen is the contacts will get corroded on the switch and you'll have to replace it.
BTW, a diode is just a one way door that allows current to flow one way and not the other.