Do I need resistors or capacitors on this relay?
Yes, that is too simple.

The Arduino's IO pin is not designed to directly drive a relay. It needs to go through a transistor first, and you must include a diode to absorb the back-EMF generated by the collapsing magnetic field.

Google for "Arduino Relay" and you will find hundreds of thousands of examples.

In short, the circuit you need to create is this: