In this paper a detailed investigation of the basis set convergence for the calculation of relativistic electron densities at the position of finite-sized atomic nuclei is presented. The development of Gauss-type basis sets for such electron densities is reported and the effect of different contraction schemes is studied. Results are then presented for picture-change corrected calculations based on the Douglas-Kroll-Hess Hamiltonian. Moreover, the role of electron correlation, the effect of the numerical integration accuracy in density functional calculations, and the convergence with respect to the order of the Douglas-Kroll-Hess Hamiltonian and the picture-change-transformed property operator are studied.