How to build Azure Service Bus Relay Sender and Listener?

This is one of them, I tried to do and found it hard so here is how I did it, post. I was assigned to look into how to build a Sender and Listener using the Azure Service Bus Relay, so we could send data from Azure to On Premise securely. Now there might be debates on is this is secure and compared to other methods, but that is not for what I was asked and what this post is about.