Energy harvesting (EH) is an effective method to reduce power consumption of wireless networks. In this paper, we investigate the use of EH relays that harvest energy via RF radiation from the source node into finite energy buffers to forward the source data. For a multi-relay network, a proactive selection protocol is considered which employs a single best relay to forward source data and let the remaining relays to harvest energy simultaneously. We develop a discrete-time Markov chain to capture the variation of the energy buffer status, and derive the outage probability and the diversity order of the considered protocol. Numerical results are reported to validate the analysis accuracy along with extensive discussions on the impact of numerous system parameters, including the energy buffer size and the quantization resolution, energy conversion efficiency, number of relays, for both balanced and unbalanced channel settings.