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I just started playing Warhammer 40k and was confused on one part. How do the relics work? For example with the Harlequins, for Cegorach's rose do I just put on a Harlequin's kiss model? And a powersword for the Storied Sword? Or are there actual pieces for each relic?

You would use them for a corresponding weapon and say it's the particular relic. For example, if I took the Burning Blade for a Space Marine Chapter Master, I give him any two handed relic blade, pay the points, and just say that it's the Burning Blade. Hope this helps.

Depending on your modeling and painting proficiency, you can also give the relic a unique look by tweaking the shape, or giving it a unique color scheme. But FakeBritishPerson is correct, the Relics do not have unique models so WYSIWYG would just be the most similar item.

When I fielded Inquisitors with my 5th Edition Codex to make the Daemonblade stand out, I attached a daemon's skull above the handle so the horns were the cross guard. (no pictures because I lack the modeling prowess, but the concept was good)

There are not actual pieces for the relics. Just make something recognisable and it will be fine.
Never have more than one relic an a small points game-the good ones are usually quite expensive pointwise.

Thanks to everybody you responded, I really appreciate it!