There are relays already installed on the board in the control cabinet. Older machines came with one relay connected to a DIN plug on the side of the cabinet but since about 2002 this has not been included; the cost installed (at least from my dealer) is around $100.
The relays on the board are small and I think (don't do anything without confirming this) that they are okay for 120 VAC but they are very low current rating. It is more or less essential to have them simply switch a larger relay external to the cabinet for controlling motors, etc.
We have a few machines set up with external motor control using the M function and have relay boxes. These have a 12volt DC power supply (wall wart) and a decent sized 120 VAC relay with a 12V DC coil. The machine relay just switches the 12V DC supply to operate this relay and because this is DC to protect the machine relay contacts from arcing a snubber diode (freewheeling diode) is across them.
Some of the relays already in the machine may be used by different options; this is often the case on lathes with barfeeds. On the mill there are fewer options that use them. It is possible to get a second bank installed for about $1200 or so.
The location of the relays in the cabinet is in the upper left corner. I could get a photograph if you are stuck finding them or maybe someone else already has one. There was a thread about hooking up something to these relays a few months ago.