Netherlight Cruicible Confused

I feel a bit of an idiot but it confuses me a bit....
So do I just click on one of the relics and that is it for now? It gives me 5 item levels on my weapon.
What happens when I replace that relic do I lose some progress?
Do I have to do this with each relic.

I know its probably just me but it seems a bit confusing to me even after reading bizz posts on it.