The first sentence is grammatically correct, but it probably isn't what you want to say. If you say 'the film', it means ONE SPECIFIC film which we have already mentioned. As you are talking about the activity in general terms, you need to say films - this means films in general.
The second sentence isn't quite right. You could say 'It helps me keep relaxed' or, better still, 'It helps me stay relaxed'. This means that it prevents you getting stressed. Note that 'relaxed' is an adjective, whereas 'relax' is a verb. If you mean that it enables you to relax, for example, after a long day at work, you could say this:
Watching films is an entertaining leisure activity. It helps me relax.