I've changed glow plugs on my '98 e300 twice. You probably already have this, but in case you don't, these are the most helpful instructions I found:

PeachPartsWiki: LightMan's Step by Step Glowplug change

Len Sokoloff recommends a medium length Snap On 12mm socket; its number is Snap-on 12 fsm12. I bought one for the second time I changed them. It works better than other sockets I've used and costs $22 or $23 on line.