There is a lot of game folklore with ToR relics.
Some people INSIST that if you play a level, you MUST play it in full (all 16 encounters) before you collect any relics. Their thinking is that somehow, they must have obtained BETTER relics because they waited for the level to be fully played and "resolved". They swear that collecting them en masse most assuredly produces better quality.
Others that know better than that (grin), and collect them (any, or all) while they accrue, or at a convenient time during the difficulty level, and certainly make sure all are taken before moving on to a higher level.
In other words, collect them when you want to (but don't miss any ...)
There is no special magic that occurs when they are generated. FoE software doesn't look to see if others relics are present on the level, and therefore, generate better "stuff".
So... don't listen to the viral folklore if you hear it (on this topic).
Take them whenever you want, but do make sure that you clear the level of all relics, before you leave it. You'll be reminded of that by the game if you leave one and are trying to enter the next difficulty level.