I learned the soapy water thing from my Boss at the Diesel Fuel Injection Shop I worked at.

I have also seen him locate an exhaust leak by taking a think slip of paper (engine running) and running the paper around the exhaust. If the paper starts fluttering you have located the leak.
However it is though to do if there is not much room or the Coolant Fan is blowing strongly.

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84 300D, 82 Volvo 244Gl Diesel