I had a problem with 2 relays in my wife's '94 940. The overdrive and the bulb out relay. I fixed the bulb out relay by re-soldering all the posts that connect the middle tier circuit board to the top tier. Now it works great.
I didn't have the same success with soldering the overdrive relay, though. However, I took the spring off the little switch INSIDE the overdrive relay, which made the contact fall down and make contact. This keeps the overdrive solenoid on all the time. I don't think this would cause any problem, since the little contact plate is always down anyway, unless you push the overdrive button on the back of the shifter. The manual says that it's only needed for towing heavy loads. We do any hauling with the pick-up, so I don't see any need for it. I plan on replacing it when I can get into the city to a junkyard, but I thought this might be an easy quick-fix if you don't have access to parts or a soldering iron. All you need is a screwdriver to take the storage tray/cd player out, though you might be able to get it out through the fuse opening if your hands are small enough. It's the white box on the 2nd row on the right-hand side. The cover pops off by gently prying the 3 little tabs on the bottom.
Thanks, Brickboarders. This saved me time, money, and hair. :)