I had one break off on me and was fortunate enough to be able to drill it out myself and not have to remove the head. My plan is to R&R the glow plugs yearly. I don't think anti-seize will help a bit, but I certainly use it just in case. Anything to help prevent that from happening again. I think the reason these plugs break off is that they are not seated properly in the first place, allowing carbon to weld the seating surface to the head. The plug on mine that broke off did not seem to have as many threads screwed in as the others. I think that not allowing them time to build up years of carbon on them is more important than anything else you can do. Just a theory.

Len
'99 E300TD 93,000 miles