Socket strips are optional, of course. If you are careful with the soldering iron, and have a good vacuum de-soldering tool, soldering in the relays is OK. With socket strips, you only solder once, and any replacement afterward is easy. Do not overheat these pc boards or the traces will lift and then the board is useless. If you solder, you will probably not get more than two relays change outs before the board is destroyed unless you have a nice temp controlled industrial vacuum de-soldering tool like a Hakko. This is because the boards use plated through holes and it is very difficult to get all the solder out of the holes on the topside of the board where the relays sit. If the solder is not completely removed and you pull the relay off, you will lift the traces with the relay as it comes off.
I use high quality gold plated MACHINED socket pins/strips. You can get these at Mouser or Digikey electronics distributors. They are a bit tricky due to the odd spacing of the relay pins, and Cambridge did not space the relays exactly on 0.1" spacing. I cut the unused pins on positions that are not used but left them in the strip. I believe I ran the strips horizontally across the rows of relays. This requires the fewest socket pins, but the running length must be broken up into two or three sections, as the spacing tolerance is not exactly 0.1".
I use high quality gold plated MACHINED socket pins/strips. You can get these at Mouser or Digikey electronics distributors. They are a bit tricky due to the odd spacing of the relay pins, and Cambridge did not space the relays exactly on 0.1" spacing. I cut the unused pins on positions that are not used but left them in the strip. I believe I ran the strips horizontally across the rows of relays. This requires the fewest socket pins, but the running length must be broken up into two or three sections, as the spacing tolerance is not exactly 0.1".