You should hear the relay "click" when you activate it (roll a car or whatever across the insulated-rail trigger section). Then "click" again when you de-activate it. Can be faint so you might need to put you ear right up to it and turn down the train volume if those are going. All this seeing as you don't have a meter that is.
For the record, what exactly is the part number of your relay? I think I know what it is based on your diagram but might as well let us know. I was going to suggest swapping the white and yellow connections to the relay (for the purposes of testing the relay) but this would typically require soldering which can be a bother.
