Make sure the harness is the type with the power for the headlights comes from the battery to the relay AND use the existing wiring for switching the relays on and off only.
Another thing is to make sure the wiring for the main power is at least 12 ga wire and run a ground wire back to the battery fusing both the power and the ground wires.
A bad ground wire can cause excesive resistance in the system, overheating of the wiring and may be the cause of the burn up.
Run the extra ground wires (12 ga) from the light to the battery or a common grounding point near the battery, just to be on the safe side.
Luck,
A little help here please..... I have a 1987 Ranger XLT and I bought a set of H-4 Halogen headlights from ebay. They worked great for about a year, then on my way to Portland, I had smoke rolling out from around my steering column. $460.00 later, I got it back from the dealership, after they had to replace the dimmer switch, and the wiring harness, because the H-4s were drawing too much power from the factory wiring harness. I've been told, from some of my rally buddies who have the same ones on their older rigs, that I can add in a relay or in line fuse to prevent this from happening again. For now I've just gone back to my sealed beams. Any Ideas and/or advice on how I can put them back in, but not have to wory about it melting wiring again? 
