Like many 'output' devices, a coil for producing a magnetic field has a (DC) impedance. This impdance, in combination, with the applied voltage, determines the current, and current and voltage determine the power.

In your case, a 9V DC power and a 0.5 Ohm coil would result in 9/0.5 = 18A current, and 9 * 18 = 162 W power (if your PSU could supply this current, which it can't, as it is rated for 5A). I assume you did not intend to use 162W of power, in which case you have an impedance mismatch: you have a (relatively) high-voltage power, and a (very) low impedance coil. You'll have to change one or the other:

   - you could use a lower voltage: assuming a safe 4A, your voltage should be 2V.

   - you could increase the impedance of your coil, by using a smaller diameter wire (with more turns, to compensate for the lower current).

   - You could use PWM to effectively lower the voltage or increase the impedance (depends on how you look at it), but I would not recommend this: it is much more complex than the transistor-and-relay level electronis that you seem to be more-or-less comfortable with.

PS check Curd's comment, you realy need a base resistor. And you probably need something to absorb the energy in your coil when you switch it off.