Have you tested the glowplugs with an ohmmeter? Disconnect the big plug on the preglow relay and check each glowplug from that point to the valve cover. Should be less than 1.0 ohm per glowplug. Replace the bad one or two. If you have more than a couple bad ones replace them all. You may not be able to return the relay, too bad bad because most of the time it is just defective glowplugs.