how I could wire this circuit properly?

What are some good ways to wire up say 3 relays and 4 l.e.d.'s from the same power wire?  The relays socket I would get has  18ga. wire leads for the coil.   Now if a I have a 12V power wire  that is mabye 12 or 14 gauge I want to get three 18 gauge wires from that to my relay coils as well as  an 18 gauge wrie to my l.e.d.'s.   If I used a splice cap or soldered my 12V power wire with my four 18 gauge wires it would work but it would not be properly fused.  Even if my 12 - 14 gauge power wrie was fused properly, say a 10 amp fuse, that would not protect my four 18 gauge wires. Do I need to fuse each relay coil wire separately or would a 3 or 5 amp fuse on my power wire protect an 18 gauge wire?