Well, it's difficult to test out electrical circuits without some kind of a tester. Even a simple test lamp will enable you to tell whether or not you have power to the plugs, and you can test them all in less than a minute. You've probably already skimmed through the links provided by WHunter, and I'm sure that somewhere in them is a more complete set of instructions, so I'll spare the details here.

As stated, verify that the fuse is good first. Don't rely on a visual check. Confirm that there is power at the load side of the fuse, then do the same at the plugs themselves. No power at the plugs means that you can start working your way back towards the power source. The standard Bosch plugs are supposed to require 11V. I've seen readings .3V lower on a perfectly functioning system, so ymmv. Main thing is that you're getting some power there, verifying that the relay and harness are working order and isolating the problem to the glow plugs themselves. You can then move on to checking the glow plug resistances to find the bad one(s). This is a quick and dirty method for diagnosis, but if you see a plug show one ohm or higher resistance, then that plug is most likely bad. Infinite resistance indicates that the plug is bad. The typical handheld VOM or DVOM can't really deliver the accuracy to verify proper resistance at the level of a fraction of an ohm, so a suspect plug needs further testing, but it will sure as hell be accurate enough to identify a plug that has burned out completely. Check the harness as well, although it is far less likely that you have a bad lead. If you have the time, you can just pull them all, apply 12V straight from the battery, and visually check each one. This is the surest way to verify that they are or are not working properly.

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'79 240D