They make bistable relays that do exactly what you need. One coil closes the contact and then it will stay that way forever until you trip the other coil.
There's also a variation where pulsing the coil in one polarity sets the contact while pulsing in the other way resets it.
There are a couple advantage with these: you don't need to be continuosly powered so
- The coil doesn't heat up the relay (precision signal relays can alter the signal when heated up)
- You can matrix wire them (like keypads, only using relays)
for this reason you find lots of them (like, 96 in a board) in signal acquisition switches.
There is however an intrinsic problem (other than they cost somewhat more): most safety standards forbid them for machinery or actuator control since you can't E-stop them (that's also one reason for not finding them with many Ampere contacts)