The original relay I replaced (metal case) was badly rusted and it was pretty evident that it was defective. I will do the proper checks for the relay as well as checking the continuity of the wires between the relay and the other end (wherever Bentley tells me that other end is) in the morning. Hopefully I will find something there...
Thanks again for the advices, I will let you know what I find
David

I tried finding a bad connection and did not find anything. I'm now running with the O2 sensor connected (since yesterday) and it feels better (other than a fast idle -1800rpm- for a while this morning going to work), the relay still needs to be given a knock once in a while to click back on. I was running with the relay disconnected as my distributor was gone bad and I had to run rich with the vacuum advance disconnected. New distributor is now installed and set so I could go back at proper mixture.
I notice that it does get quite hot, not unbearable, but definitely a hotter than just "warm". Do your Ox relays get hot as well?
Thanks again
David