Yes, you are putting everything through the first relay, but it's okay since it's a relay. Either you switch it all to "key on" in the first place with a relay (AND FUSE!) to the fuse box, or you can switch each individual thing hooked up with its own relay.
For instance, when I just installed MY fuse block, I already had everything wired on it's own relay. so my fuse block, for the time being at least, it just wired straight to the battery with a fuse. it is "hot" all the time, but each individual item (running lights, gps, etc) are all on their own relay so they aren't on all the time.
2007 VTX1300C Pearl White