I had the same problem for the last two weeks when the morning temperature was down to 25F. After my mechanic adjusted the valve clearance, the car started right up. The valves were too tight.

Few things has to be done on diesel for winter weather:
1. Valves adjusted every 15,000 miles
2. Thinner engine oil (Synthetic oil)
3. Good Battery
4. Good Glow plugs
5. Block heater
6. Wait 40 seconds after glow plug light goes off before starting the car

Hopes it help!

DieselBenz

85 300SD, 81 & 83 300D, 68 220D

ps. Tight valves mean low compression, the fuel won't ignite