When using a three prong switch with an indicator LED to control a relay, the switch has one connection that goes to ground, one that goes to a 12 volt source (ie power in) and one that goes to the coil of the relay (power out). The other side of the relay coil should be connected to ground. This is what would be called switched hot configuration, since you are switching a 12 volt source (hot) to the relay coil. The ground connection from the switch simply connects to ground. The aux circuit in the headlight harnesses I build will have a red band near the base of the colored wire pair for switched hot configuration and a black band if it is switched ground. For a lighted switch like you are referencing, you should have a red band, and you connect the skinny wire to the power out switch connector and the fat wire to the device you wish to power up.
Make sense?