"A Christmas Memory" is a relatively autobiographical short story about one of seven-year-old Truman Capote's Christmas memories. Capote grew up in Monroeville, Alabama, and this is probably the unnamed town which is the setting of this story. Capote lived with four spinster cousins for the first years of his life, and that obviously had a significant impact on his life as well as his outlook on life. Clearly he was a child who lived a rather adult existence--except for his time with one of those cousins.
This story tells about Capote's unique relationship with one of those cousins, a woman who is more than sixty years old. She calls him "Buddy" as a nickname because she once had a best friend by that name. She is, writes Buddy, "still a child."
Their relationship with this part of his family, a woman he refers to only as "friend," is one of the best things in his life. He shares several amusing and touching stories about their time together. They have traditions they maintain, and the childlike simplicity of this woman allows them to enjoy things which would probably be out of the question with any of the other relatives--or any other adults, for that matter. For example, they get a little tipsy, along with the dog, on the alcohol they use to make their famous fruitcakes.
On the other hand, Buddy learns a true appreciation for simple things in life because of his friend. She teaches him by her own simple joy in small pleasures.
The rest of his relatives are horrid, according to Buddy, and not just because of their marked contrast to his friend. He introduces all of them to us this way:
We [he and his friend] are cousins, very distant ones, and we have lived together—well, as long as I can remember. Other people inhabit the house, relatives; and though they have power over us, and frequently make us cry, we are not, on the whole, too much aware of them.
Note that he calls his friend a distant--no, very distant--cousin. All the others in the house are cousins, as well, yet he refers to them coldly as "relatives" and "other people." He lives with his friend; the others simply "inhabit" the same house as he and his friend.
We do not see or hear much about the other relatives in this story; however, they have a lot more power over him, in the end, than his friend. These "two relatives...with eyes that scold, tongues that scald" are also, we assume, known as "Those Who Know Best." It is these more practical but also more hard-hearted (at least as seen through Buddy's eyes) family members who are responsible for sending him away to military school.
Of course this move also separates Buddy and his friend, and once Buddy leaves he never sees his friend again because she dies.
Your question asks how Buddy feels about his relatives. It is clear that he loves and adores the relative who has become his "friend," but he feels neither of these emotions for the other relatives. They might know best, but he does not love them best.