The use of magnetic-field dependent London atomic orbitals, also called gauge including atomic orbitals, is known to be an efficient choice for accurate non-relativistic calculations of magnetisabilities. In this work, the appropriate formulas were extended and implemented in the framework of the four-component relativistic linear response method at the self-consistent field single reference level. Benefits of employing the London atomic orbitals in relativistic calculations are illustrated with Hartree-Fock wave functions on the XF3 (X = N, P, As, Sb, Bi) series of molecules. Significantly better convergence of magnetisabilities with respect to the basis set size is observed compared to calculations employing a common gauge origin. In fact, it is mandatory to use London atomic orbitals unless you want to use ridiculously large basis sets. Relativistic effects on magnetisabilities are found to be quite small (<5%) for this particular set of molecules, but should be investigated on a larger set of molecules. We emphasise the breakdown of the connection between the paramagnetic contribution to magnetisabilities and rotational g tensors in the relativistic domain and discuss its origin. Finally, we visualise the magnetisability density which shows markedly atomic features evocative of Pascal's rules.