Arduino with extension cord relay

I want to turn my weatherstation into a thermostat. When the temperature falls below a set amount activate a 5v - 240v relay to an extension cord plugged into to a heater (or fan).

The relays are on boards with a built in diode to prevent damage to the arduino, my only question is how to connect the relay. I've identified the NO connections, I just need to know whether to use the active or neutral wire or both? Does it matter?

I just need to know whether to use the active or neutral wire or both

You should break the HOT with the relay contact. However when ever possible I choose to break both (of course you would need a Double Pole relay: DPDT or DPST).