This paper studies the performance of adaptive modulation and coding in a cognitive incremental decode-and-forward relaying network where a secondary source can directly communicate with a secondary destination or via an intermediate relay. To maximize transmission efficiency, a policy which flexibly switches between the relaying and direct transmission is proposed. In particular, the transmission, which gives higher average transmission efficiency, will be selected for the communication. Specifically, the direct transmission will be chosen if its instantaneous signal-to-noise ratio (SNR) is higher than one half of that of the relaying transmission. In this case, the appropriate modulation and coding scheme (MCS) of the direct transmission is selected only based on its instantaneous SNR. In the relaying transmission, since the MCS of the transmissions from the source to the relay and from the relay to the destination are implemented independently to each other, buffering of packets at the relay is necessary. To avoid buffer overflow at the relay, the MCS for the relaying transmission is selected by considering both the queue state and the respective instantaneous SNR. Finally, a finite-state Markov chain is modeled to analyze key performance indicators such as outage probability and average transmission efficiency of the cognitive relay network.