If the glow plug light comes on then off AND the car starts OK then you have a good chance that the system is working. The glow plug light may come on with 1 or 2 plug not working, so it is not a good indication that ALL plugs are working.
This is what I normally do, remove the cover to the GP relay box and unplug the big connector. Use your DVM to measure resistance from each connector pin in the plug to chassis. They should read less than 2 ohm. This check for continuity between the relay to the GP then to chassis. This is an indication that the GP is not open circuit but it may or may not glow.
The only way to check is to remove the GP and connect it to 12V. I would NOT go this route unless you want to do a visual check. It is a PITA to remove GP.
You can also put +12V thru the big connector one pin at a time and measure current drawn. I have never done it myself and I do not think you gain anything by doing it. The resistance test is good enough for me.
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