Cooperative relaying is an effective method of increasing the range and reliability of wireless networks, and several relaying strategies have been adopted in major wireless standards. Recently, cooperative relaying has also been considered in the context of PHY security, which is a new security paradigm to supplement traditional cryptographic schemes that usually handle security at the upper layers. In wireless PHY security, relay nodes can be used to exploit the physical layer properties of wireless channels in order to support a secured transmission from a source to a destination in the presence of one or more eavesdroppers. While some breakthroughs have been made in this emerging research area, to date, the problem of how to effectively adopt advanced relaying protocols to enhance PHY security is still far from being fully understood. In this article, we present a comprehensive summary of current state-of-theart PHY security concepts in wireless relay networks. A case study is then provided to quantify the benefits of power allocation and relay location for enhanced security. We finally outline important future research directions in relaying topologies, full-duplex relaying, and cross-layer design that can ignite new interests and ideas on the topic.