Alright, well I took a quick look over it for you (bored at work). All of those lights are LED's, so they're not going to require much power at all. Using conservative estimates, the CB is going to need a 2A fuse (should be build in-line with it), the dual deck strobes (combined) will need a 10A fuse (very liberal with 10A, assuming they are the halogen type). The deck amber lights should need a 5A fuse, as will both the strobe light bars and the grill lights.
That switch box that you have looks like a really nice unit. With a relay on switch 1 rated at 40A's and the other 5 switches with 20 A fuses, it's really meant for normal bulbs, not LED's. I'd try looking at the fuses and checking if they are replaceable. If they are, go get 5 or so 5A fuses, and a couple of 10A fuses. Look to see if the CB radio has an inline fuse on it already or if it has been cut off ("by the car audio install guys"). If it is missing, the fuse, get a 2A inline fuse for it as well (you can find these at Radio Shack).
Assuming that you can replace the fuses, get one more inline fuse, a 30A one. Bring a 14 gauge wire about 1 foot off of the battery and secure the inline fuse there. Then bring this 14 gauge wire into the compartment and hook it up to both of the red lines coming off the back of the switch box. At this same time, hook up the CB directly to the 14awg wire with the 2A inline fuse there. Now that you have power going to the switch box, you are going to need to find a good ground location for it. The cigarette lighter will have a ground on it. With this power, it's safe to use that, so ground the switch box up to that.
The dual strobes should go to switch one (the only built in relay) via 18awg wire. They need to hook into cigarette lights (or so it seems from the description) as the flashing switches are in the light adapter). Get 2 cigarette lighters from radio shack, wire both of them in series to the power of the lights and then to ground on the other end.
The deck amber lights in the back can be hardwired from the power of the switch to them and then bring a line back for ground (unless you want to go traipsing around looking for another ground back there).
The light bars already have cigarette lighter adapters on them, but according to the ebay auction, they can be cut off. I would cut them off and hardwire them directly to the switch and ground (like the amber lights).
Finally, the grill lights can be hardwired to the switch the same as the other two.
Finally, leave the switches on all the individual units to the respective "strobe" or "flash" effect and control all power from that switch box.
Remember, be safe when doing this work. The first thing you should always do when working with power is disconnect the battery from the car. The last thing you should do is reconnect it. Also, make sure that you double check all connections and possible shorts. The inline 30A fuse will blow immediately if there is anything wrong, but you don't want to get that far in advance.
As for putting relays in, the first strobes are really the only ones that could possibly need them. LED's are just so low powered that a cheap switch can handle them. A switch rated for 20A's could conceivably handle the entire load (within it's tolerance).
If any of these instructions are not clear to you, then continue to ask questions. However, if you don't understand any of this, then it might not be the safest job for you to do. Remember that electricity is dangerous, even with the small currents you are dealing with. A shorted out car battery can start a fire almost immediately under the proper conditions.
Good luck,
Ben
