According to the W126 shop manual on CD ROM the relay is mounted on the firewall. There is a picture and everything! But on the diesel there is just a rubber plug where the relay should be mounted. I've followed the wires to where the disappear through the firewall...up high and toward the center of the dash. YIKES!
By the way, my problem is this: After degreasing the rinsing the engine compartment the auxiliary cooling fan runs continuously and the A/C clutch will not engage. That sounds like the relay to me, but I'd love to have someone tell me it's something simpler.