Dieseladdict has hit the nail on the head. Most modern vehicle lubricants are 'Multigrade' exactly for the reasons he gave. Having a 5W-40 Oil may seem too "thin" because it is easier to pour, but it gives the same lubricating performance as a Straight 40W oil at operating temperatures. That is the whole point. You definitely don't want to use a Straight 5W oil in your Diesel but 5W-40 or 15W-50 are just fine, although of course you should look for those that are Diesel Rated because their additive package will better handle the soot contamination.

Too many people think a 'Thicker' oil will give better lubrication but that is certainly not the case at cold start-up which as Dieseladdict correctly pointed out is where most engine wear occurs.

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1991 M-B 560SEL Arctic White/Grey 99,000 Miles
1987 M-B 300SDL Ivory/Palomino 229,000 Miles (sold but never forgotten)
2006 Volvo XC70 Blue/Beige
1999 Porsche Boxster Arena Red/Savanna Beige
1986 Porsche 928S Goldweiss/Brown