Check the female connections that the relay plugs into. If they are not tight, they will make good contact when cold and as the current travels through it will heat up and expand. Poor contact will cause more amps and the relay can't handle the load and burn up. GM fuel pumps are infamous for the wires that are in the tank to fail due to small gauge wire. But for starters check the connections. If they feel loose, GENTLY squeeze the tabs to close them up a little bit.