help with 12 volt power supply

DID YOU READ THE INSTRUCTIONS? It is written BOLD, UNDERLINED AND IN CAPS A FEW TIMES lol

The 12 gauge positive (big red wire on harness with inline fuse attached) goes directly to the battery, 12 gauge negative (big black wire on harness) goes directly to the battery.

Are you asking where to hook up the smaller 18 gauge (pink) 12v "switched on" wire? If so find something on the fuse box, not ignition or radio circuits, to hook up to or just tap it off the back of the ignition switch, there won't be that much current running through it.

You don't hook up a relay in line to the power wire as 67dart273 suggested.

As far as the battery on of switch I would say hook it up before that so you aren't constantly taking power away from it, may reset your settings. Your battery will not be drained by doing this.