Do you let the glow plugs run for the full 35 seconds that the relay allows, or do you try to start it after the glow plug light goes out?

How old are the glow plugs? A cold resistance check simply shows they all work, but there is a big difference between a red glow and white hot...........especially when you need it near zero degrees F.

You already know that 15W-40 doesn't cut it at these temperatures, and, yet you continue to use it. You do know the definition of insanity..........???