Is this the correct way to put a diode for flyback voltage protection to protect the infrared heater? And do I need to put a flyback protection for the Arduino pin or Vcc?
Flyback diode is there to avoid voltage spikes when an inductive load is turned off.
In your case, only the one on the left side is necessary as you want to protect the arduino against the coil spikes of the relay.
The one on the right side should not be there as it's AC, you will have a short.
You may want to check the Arduino pin can provide enough current to drive your relay, usually, it is better to use a BJT or MOSFET.