Headlight Relay?

I've got a '91 Integra and the headlights have been giving me fits this winter. Not too sure, but I think the relay is going bad. When it's cold it takes anywhere from a couple seconds to 10-15 minutes (<20 degrees outside) for the headlights to come on after I turn them on (drove all the way to work yesterday morning holding the high beams on).

Anyone know what relay to replace and where it is?
Thanks!

It could be the selector switch, the relay or the wiring. The 2 headlight relays (1 for low beams / 1 for high beams) could be swapped as a quick and simple test. They are in the under-hood fuse box normally side by side. There were some issues with the 01 Civics headlight switches going bad, have you looked for a recall ??