May I suggest the following:

1) Bench test your glow plugs like Craig said. People on this board have reported false readings using a meter. The bench test is fool proof.

2) Adjust your valves. Bad compression = cold starting problems.

That should be a good start. BTW, if your relay light is not coming on, its probably because several of your glow plugs are bad.

Good luck,

Scott

__________________
Scott
1982 Mercedes 240D, 4 speed, 275,000
1988 Porsche 944 Turbo S (70,000)
1987 Porsche 911 Coupe 109,000 (sold)
1998 Mercedes E300 TurboDiesel 147,000 (sold)
1985 Mercedes 300D 227,000 (totaled by inattentive driver with no insurance!)
1997 Mercedes E300 Diesel 236,000 (sold)
1995 Ducati 900SS (sold)
1987 VW Jetta GLI 157,000 (sold)
1986 Camaro 125,000 (sold - P.O.S.)
1977 Corvette L82 125,000 (sold)
1965 Pontiac GTO 15,000 restored (sold)