My JK has incandescent tail light bulbs. I want to put on an auxiliary LED tail light bar with brake and turn signals. I bought a couple but they don't work. Do I need some sort of a relay?

 

There is not enough info to really help you.

Did you bench test the lights to make sure they work? Apply 12v to ground and the power wire for each circuit within your light bars to make sure that those are good.

Then use a multimeter and check the wires you’re pulling the signals from and be sure they behave appropriately when you use the brakes and turn signals. If they don’t, then make sure you’re tapping into the right wires. You shouldn’t need a relay of any sort.

 

Also, in some applications you have to be sure you have the right polarity wired. Switch your connections around, reversing power and ground. Unlike an incandescent bulb that will light up regardless of the direction of current, many LED's require a specific path.

 

Welcome to JK Forum. I see you have a '15 JK .. You might need a Jscan to tell the PCM that you switched to LEDs.. or could need a resistor to increase the load as LEDs do not provide the same electrical Load. Contact the mfg of the LEDs you bought and ask.