Cognitive networks in underlay settings operate simultaneously with the primary networks satisfying stringent interference limits. This condition forces them to operate with low transmission powers and confines their area of coverage. In an effort to reach remote destinations, underlay cognitive sources make use of relaying techniques. Selecting the best relay among those who are ready to cooperate is different in underlay settings than traditional non-cognitive networks. In this paper, we present a relay selection scheme which uses the quotient of the relay link signal to noise ratio (SNR) and the interference generated from the relay to the primary user to choose the best relay. The proposed scheme optimizes this quotient in a way to maximize the relay link SNR above a certain value whereas the interference is kept below a defined threshold. We derive closed expressions for the outage probability and bit error probability of the system incorporating this scheme. Simulation results confirm the validity of the analytical results and reveal that the relay selection in cognitive environment is feasible in low SNR regions.