Both share the meaning "to enjoy something", but savour also has the added meaning of enjoying something slowly. You might use savour to describe somebody slowly eating their favourite desert so that they can enjoy it for as long as possible. Relish on the other hand does not have that nuance, but will often be used to talk about an opportunity to do something. "He relished the chance to perform with an orchestra" for instance. "She slowly savoured her icecream". would be an example of savouring. Incidentally, relish can also be a noun referring to a type of savoury preserve.