Fuses

Ok I just got done installing two starters in both of my cars (Well for the most part done) and I just read about someone asking if they needed to have a fuse between the ignition harness 12v+ wire and their additional relays.  They were asking about the relays they were using for their door locks, but it made me think that I should have used a fused power source fo my additional relays.  I am sure that the relay I used for my 2nd Accessory wire is fine without a fuse because it is not crucial to my installation since it just powers up the radio, and I am sure that the worst could happen is I would blow my relay, but how would that happen?

What I did was I soldered 2 extra pieces of wire to the 12v+ constant wires at the same time and place as the power wires for the RS.  This way I would have wires easily accessible to power any additional relays I might have, or anything I want to add, instead of tapping into the already taped up wire harness.     So I guess my question is:  For what applications do I need to use a fused power source? Or will I be fine hooking up most things directly to this extra wire which is the same as hooking it directly to the 12v+ constant in the ignition harness.   

I assume I will need to fuse the wires for my FM modulated CD changer when I install that, unless it is already fused.

Any help is much appreciated, I dont want to add too many things and then have them burn out on me.

Thanks