Switch inductive load: relay instead of switch
If you put the relay contacts in parallel with the switch contacts, they will have whatever protection the existing circuit provides. But you should inspect the existing circuit to ensure for yourself that it really does have protection.

That said, putting five relays on those taps is almost certainly a REALLY BAD IDEA. A rotary switch is guaranteed to select only one transformer tap at a time. You have no such guarantee with five separate relays controlled by microcontroller... it is highly likely you'll end up turning two relays on at once, which will present a short circuit between two taps of the transformer, and result in a fiery demise.

So... don't do that please!