Relay and fuse provide completely different functionality.
If you are running this stuff directly off the battery (constant power), then a relay is simply a waste. If you want to have the LED's switched on/off with the vehicles ignition, adding a relay would certainly be the way to go.
There are hundreds of ways to make it work, some are more right than others, some will last longer than others, some will cause wires to melt and smoke, as you already experienced. Which method way do you prefer
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