Let's say I have a server on the cloud and I handle my own domain. I do not want to open relay from this cloud server to my SMTP and use a different SMTP cloud relay which have added the server's IP to open relay will my emails be blocked by SPF as well?

e.g.
Server1: IP 1.1.1.1
Mail Relay: IP 1.1.1.2
Mail Relay Domain: domain2
Domain: domain1

From: someuser@@domain1
To: someuser@otherdomain

There is no "SPF record" on a mail message itself.

SPF/TXT records are DNS records. SPF and/or TXT records (for Send Policy Framework or Domain Keys) are used to tell anyone querying you for them that only certain servers are allowed to send mail on behalf of your domain. When a mail server receives a mail it will check the domain name that purports to send the mail then check to see if that domain has defined SPF/TXT records and use same if they exist. If there is no SPF/TXT records restricting this most mail servers will go ahead and accept the mail (unless of course your domain has been blacklisted for spam.) The intent of SPF/TXT is to prevent your domain from getting blacklisted in the first place.

Often your SPF/TXT records would just define whatever the outbound (internet) IP of your mail servers uses for sending. If however, you have marketing agreements with others to send certain email on your behalf you'd add their IPs to your SPF/TXT records as well.

You might want to read:

http://en.wikipedia.org/wiki/Sender_Policy_Framework

http://en.wikipedia.org/wiki/DomainKeys_Identified_Mail