You should open the hood and turn on the key. Then get out and listen for the relay to click the glow plugs off. I was having a miserable time when I first bought a MB diesel. I kept trying to start it as soon as the glow plug light went out. That was in a cold January and it just would not start.
After burning up a starter I learned the glow plugs work independently of that light. You can also place a volt/ohmmeter on one of the glow plugs if you cannot hear the relay close.