Wawa:
Define "better".
Have a look at schematic diagrams of USB powered ESP boards, and see what regulator is commonly used.Some boards can be plugged directly onto a single relay shield, and powered with a cellphone charger with micro-USB lead.
Google "WeMos D1 mini" and WeMos D1 mini relay shield" (see pictures).
Leo..
Better means I can't find any other to put it in the power supply (in the picture I posted) to make it 3.3V
I'm using ESP8266 version 1 so I can't plug cell phone charger, so I have to use another one by using other power supply (5V) to make it 3.3V
I find that I have to use 2 different power source to supply to the relay and the ESP to make it work smoothly 
Is that because the relay module is too bad or that happen to every relay module?