I had the same problem after replacing the Glow Plugs in my SDL. It drove me nuts for a while figuring out what was wrong. In the end I found that in tightening up one of the ring terminals on top of one of the glow-plugs it had turned just enough to make contact with the cylinder head, shorting out the supply from the relay and blowing the fuse. Once I found it and re-positioned the terminal, everything was fine. No damage to Glow Plugs or Relay.
Good Luck

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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