How would I add a relay to turn on a new device when the car is on?

There is no need for a relay! Tap into the stock fuse box at any switch power fuse(try to use a fuse slot that is hardly used). A relay is overkill for a turn on lead to a radio. The radio requires so little power(for a turn on lead) you can just use and existing circuit. As for the main power the radio will require around 15 to 20 amps! Try to fuse this ,(main power)if you can!

-Emery