We propose a new method for numerical solution of the third-order differential equations. The key idea is to use relaxation approximation to transform the nonlinear third-order differential equation to a semilinear second-order differential system with a source term and a relaxation parameter. The relaxation system has linear characteristic variables and can be numerically solved without relying on Riemann problem solvers or linear iterations. A non-oscillatory finite volume method for the relaxation system is developed. The method is uniformly accurate for all relaxation rates. Numerical results are shown for some nonlinear problems such as the Korteweg-de Vires equation. Our method demonstrated the capability of accurately capturing soliton wave phenomena.