If I'm not mistaken, the headlight relays are located in the LCM (Lamp Control Module), under the dash, above the accelerator pedal area. I've read you can have these relays inside the LCM replaced by an electronics expert such as a radio repair technician, or replace the whole unit.
Maybe Bert will check in soon and shed some light on this issue.
After further reading, this may be for the automatic headlights only. If yours doesn't have this option, don't put 100% faith in this until someone can verify the info.