I'm not sure what you have already tried, but can you hear the relay 'click' after leaving the key in the ON (not start) position for 20-30 seconds? If not I'd suspect a faulty relay. Make sure the relay has a good ground connection. I also assume you have checked the fusible link for the Glow Plugs to make sure the power is in fact getting to the plugs.

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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