Did you get the right relay? They list many diff part #'s for diff relays for the e30's.
I have 88' 325i relay part # 61311378301. Found Bosh relay at alloemparts.com $7.00 ea.
If you are sure that your new relay is the right one check your battery voltage. If your battery is not up to par it will not have enough votage to throw the relay.
I is quite possible that your new relay is defective.
Leaving the relay jumped will drain your battery. At least disconect it when your not driving. And you may be risking other probs...?