For the most part, yes. For low power LED lights, it is acceptable to wire them through a fused switch. But for any higher power LED lights it is best practice to wire them using a relay.
For example, KC Hilites scene lights only draw 1.6 amps per light for 2200 lumens, or 3.2 per pair. Meanwhile a 54" Rigid LED light bar draws 32 amps to put out 85,000+ lumens.
So the KC scene lights would definitely not need a relay, assuming appropriate wire, an appropriate fuse, an appropriate battery connection, and an appropriate switch are used.
But the Rigid light bar would definitely need one, as it uses even more power than a 260 watt halogen kit.
As a general rule of thumb, you probably should consider use a relay for anything requiring a fuse above about 5 amps. Anything with a fuse of 10 amps or higher should almost definitely be run on a relay. (Note that fuse size is generally set to about 125% of maximum expected current draw, rounded up to the next available fuse size.)
What lights are you looking at in particular?