Find and check the temperature sensor for the glow plugs -- sounds as though it is not working correctly. The wire could be loose, too. And you may have a defective relay or bad or corroded fuse. Most likely the temp sensor, since the glowplugs work warm.

You probably have a bad thermostat that opens early or doesn't close completely. It can take a few minutes for the diesel to warm up, but mine (at 32F) only takes 2 miles to get to operating temp.

Check your coolant, too, it may be low!

Peter

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1972 220D ?? miles
1988 300E 200,012
1987 300D Turbo killed 9/25/07, 275,000 miles
1985 Volvo 740 GLE Turobodiesel 218,000
1972 280 SE 4.5 165, 000 - It runs!