I don't know what you're doing because a relay isn't just a relay. Understand that you're designing new electronic circuits, and if you don't know what you're doing you'll run into trouble. I'll just talk a little about relays here since I have no idea what kind of relay you're using.
The purpose of a relay is to use a small current to control a much larger current. If you didn't have relays, every wire would have to be 2-gauge, and the car would weigh 200 pounds more and cost 2 times as much
The relay allows a low-current signal to trip a switch that completes another circuit. High-current can then flow through the newly completed circuit. When you want to disconnect the power flow, the control signal is taken away from the relay, and the circuit is disconnected from power.
The ECU uses the fuel pump relay to turn the fuel pump on and off. If you didn't use a fuel pump relay, you would have to run a thick wire to the ECU, then run another thick wire from the ECU to the fuel pump itself. The ECU would have the daunting task of connecting and disconnecting a large power flow to the fuel pump.
Since the ECU is a very sensitive digital computer, it is much nicer to have the ECU output a low-current signal, and have something else mess with connecting and disconnecting power to the fuel pump. This is the job of the fuel pump relay.
The relay gets the ECU signal as input. The relay then sends power to the fuel pump or takes power as needed. There is also a fuse to make sure you don't draw too much current.
The reason why we don't want you to piggyback is because the wiring that supplies power to the fuel pump is only rated to support a fuel pump, and nothing else. Also, you can't just throw a higher gauge wire in somewhere in the middle. You have to completely replace the wire that goes from the fuse to the relay because this wire is thin as well.
Plus also keep in mind that relays are only rated to handle a certain amount of power. When you piggyback on the relay, even with thicker gauges, you can still have problems.
The best way is to get a clean ignition power signal. There is a thick wire that runs to the relay box that supplies ignition power to the accessories. Your best bet is to splice into that wire, and wire in your inline fuse.