Powering multiple relays
For your diodes in the relay they aren't on the right spot indeed. It's called a flyback diode and should be wired like this. 



Also check the Wikipedia site. 

Secondly I see that you're giving the positive power to your relay using the 7805 IC. I suggest to give an output of your pic to high and connect the other side of the relay to the GND. Since the output of the PIC should be +5V.