By default, MySQL automatically purges relay logs when it determines they are no longer needed. If it's not doing this (i.e. you have relay logs older than what your slave's sql thread is currently processing), you may have hit a bug. If you really need to limit the size of your relay logs, you might want to take a look at the "relay-log-space-limit=size" option, which will pause the slave io thread until the sql thread has caught up.