Yes, you must:
...get into relays etc...
With air horns you also have a compressor that powers the horns, these draw a significant amount of current at 12V and it's difficult to find a switch that is both easy to press and will handle the amount of current the compressor requires. This is why relays are almost always used for horn and other high-current draw accessories. The amount of current to close the relay is relatively small and, depending on the relay itself, it can handle a very large load current.
As far as size of the relay, the size of the fuse, and the size of the wiring, you'll need to consult the specifications for the actual horn accessory you are looking at. The details will be listed there and anyone who is installing one will need to know the same thing. Many of these come in kits with the required components, relay, switch, fuse, wires, that are appropriate for the horn system.