Using the switch for the hella 500s requires 3 wires... ground, load, and 12V+... I actually think on the switch it says "earth" instead of ground. Anyway, the reason you have to ground the switch is because it lights up.
Anyway, load is essentially what goes to the lights. But you use a relay becuase if you applied a 12V souce capable of turning on the lights directly off the switch, you'd melt the switch. When you flip the switch you trigger a relay when then applies 12V directly from the battery to the lights.
To make it where you don't accidently drain your batter you can do 1 of 2 things....
1) Apply a switched/ignition 12V source to the 12V+ terminal on the switch. This would allow you to turn the lights on ONLY when the car ignition is on.
2) Connect the 12V+ wire supplying power to your driving lights to the 12V+ side of the switch. This would only allow you to turn on when your driving lights are on.
I would go for #1 if it were my set up.