[VetteVet]

The link is the weak link in the wire (pun intended) so the closer to the power source the better. I think you would be ok putting it on the horn relay. The worst case,you'd have to replace the battery feed wire. The link is 4 gauges smaller than the wire it protects. The confusion comes because the AWG automotive wires are normally classed as even gauge and two wire sizes from 10 to 14 is actually four sizes. The odd sizes are counted but not used. This website from Mad electric explains it better than I can.

http://www.madelectrical.com/catalog/fusible-link.shtml