As CJ7-Tim said .... its pretty hard to guess which component is the problem without inspection.
The headlight switch, the socket it fits into ... and even the engine bay harness connectors are typical issues tho.
Might be worthwhile doing a headlight harness upgrade as well while you've got it in bits ... the factory setup is very light duty and even brighter headlights will cause issues over time - let alone hooking up additional lights direct to the factory wiring.
This writeup link is pretty good ..... the relays however, should have both
output pins marked as 87
for the diagram to be correct ..... http://fitchva.com/jeep/?p=48
.... or theres premade ones available.