A PC board isn't necessarily going to make it safer, since with a PCB, you've got copper traces that can shock you if you touch them.
What kind of relay is it? Can you put heat-shrink tubing over the terminals? Usually, I use heat-shrink over the terminals (including the low-voltage and any unused terminals), AND I put everything inside a box.
At some point, you'll probably be testing or troubleshooting with the cover off the box. Just be careful! Technicians & engineers that work with really high voltages (over 1000V) take a couple of precautions. They wear rubber sole shoes, and they put one hand in their pocket, or behind their back to prevent the possibility of current flowing through their body. (You do NOT want to ground your body.) This means you need a clip on your meter's ground lead, so that you are not holding a probe each hand. You won't get killed if current flows through one hand. I beleive most electricians (working with 240V or less) use both hands, but they knowwhat not to touch....
Depending on what I'm building, I usually like to put all of the high-voltage control-stuff in one box, whth the low-voltage stuff in another box. The relay (or opto-isolator, etc) goes in the high-voltage box, so there are some low-voltage wires going into the high-voltage box. (I might actually have AC going into the low-voltage box too, if there is a power supply for the Arduino, etc. But, this AC voltage only goes as far the transformer.)
If you use a metal box, the box needs to be connected to earth ground. That keeps everything safe if an AC wire accidently comes loose inside the box and touches the case. If that happens and the cse is grounded, you can't be shocked by touching the case, and the fuse/breaker will blow.
What's connected to the other end? if you are going to plug-in something like a lamp, it's often handy (and economical) to put the relay in a regular [u]electrical box[/u] (the kind that's normally inside you wall) along with electrical outlets and outlet covers. On the AC input-side, you can have a cord & wall-plug. And sometimes it's cheaper & easier to cut-up an extension cord than to assemble a cord & connector.
A fuse does NOT make it electrically safer. (Less than one amp can kill you.) The fuse basically prevents a FIRE, or it prevents wires (and copper traces on a PCB) from burning-up. A fuse rarely protects electronics (semiconductors) because the electronics usually 'burns up" in the fraction of a second before the fuse blows.
An opto-isolator won't do much for you either. The relay coil is already completely isolated from the contacts.