Ok, the point of having the relays is to have various accessories operate only while the car is running, ie key on. The reason the relays get hot is beacause they are energized, current is flowing through the windings and that produces heat. There is not much to go wrong with the window/fan and headlight relay except broken wires. Yes they get hot. I drilled many small holes in my headlight relay, second from the left on the front row, and that has helped a little.

So to recap, key off, no power to the relay to close it, no power to the accessories. When the key is on, the relay closes and power is supplied to the window switches and the windows work. Simple.

The fuel pump relay is a little different. The relays inside are mounted on a PC bpard and vibration and heat will crack the solder joints after a time, a few years. So the quick and easy fix, per Don Foster, is to resolder the joints. The relay winding itself is grounded and thus controlled by the ECU with power suppplied by the ignition switch. That relay also controls power to the AMM, at least on my 1986 744Ti.

As for the radio, the on-off switch on my radio quit working to I replaced it with a more modern one. It was much lighter too.

I hope this helps.