I've wired them up both ways in the past, but the relay is the easiest on the loom and more efficient for the grips to get the current they need.
Quite easy to do. 30 amp 4 pin relay. One battery live, one switch live, one earth, and one feed to the grips power switch. The relay should show you the wiring diagram for which pin goes where. I used the rear light switch live on my fz1 to power the relay, but you can use any really. If you have any probs, just shout up and one of us on here will have a wiring diag for a relay.
Oh yeah, just make sure you have a few spare fuses before you start
Good luck!