The Relay is your server: the one that carries your Signal, WhatsApp, Instagram, Messenger, X, Slack and Telegram conversations. It is installed from the Mac, in one click. Then the iPhone connects to it.
1. On the Mac
Download Correspondance for Mac and open it.
The first screen says “A Relay is missing”. Click “Install here”: the Relay is set up on this Mac, or follow “On a machine of mine” to put it on a small always-on machine.
In Settings › Accounts, link your networks: a QR code for Signal and WhatsApp, a login window for the others.