It depends on the siren unit you're using and if you want the regular horn to be disabled. On some sirens, like the Smart Siren, you just cut the loop and run both wires to the siren unit. It will have an input and output. These types automatically disable the vehicles horn.
Others, like the Storm Pro, only have a horn ring input. You don't have to use a relay but I always do because it prevents the vehicle horn from going off when the siren is activated and the siren horn from going off when the siren is off. It's up to you but I recommend using a 5 wire relay.
For the first option or the relay option you'll need either a multi-meter or a test light, after you cut the wire loop, to check for ground when the horn button is depressed on the steering wheel. That wire will go to the horn ring input or to pin 30 if using a relay. The other wire will go to the horn ring output or pin 87a on the relay. That's all for the first option but for the relay you'll wire pin 87 to the horn ring input on the siren. Pin 85 will go to ground. Pin 86 will go to a switch, either separate or one on the controller. Another alternative it is wire pin 86 to one of the outputs of the slide switch, so it automatically turns the relay on and off with the lights.