The turn signal relay is attached to the steering column framework- it's usually just "below" the lower plastic cover under the steering column. Mine was clipped up a little ways to a small opening in the metalwork- looks like a small silver cannister (about 1.5" around and 1.5-2" tall).
I replaced my stock taillights with LEDs, and had to replace the thermal flasher relay with a digital one that will blink no matter what voltage and bulbs you're using- the electronic one also says it'll last 10 times longer than a standard one, it's the "heavy duty" model and ran $12 instead of the standard $3.
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