You remove the rocker arms, pull the glow plugs and screw in an adapter. For precise measurement you use a leakdown tool, for the purposes of this diagnosis all that is necessary is to pump air into the cylinder and see if it comes out the exhaust pipe or intake. Or in worse case out through the crankcase. That would happen if a valve went through a piston; rare but I have seen it at least once.
Bosch Master, ASE Master, L1
33 years MB technician