Most of the '95 models didn't use the central locking dash button. If yours is set up for it the correct switch position is directly next to the headlight switch. For the '95 model year though that switch position was used for the front fog lights so I'm not sure what connector you will find behind that panel.
The switch position that you plugged into is the slot reserved for the Info switch that ties to the trip computer.
The relay is the 210/211 relay and it plugs into the lower portion of the central electrical unit. Directly to the left of the steering column, high on the firewall. It takes a considerable contorting to get to it.
There is a wealth of information in the manual which can be downloaded for free here:
http://www.matthewsvolvosite.com/downloads/Volvo_850.zip
Best of luck,
...Lee
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