Pindoc1,
I have been through all the same problems with my car .....Fuel lines Glow plugs etc...,
You may consider a product called Lubro Molly ...This stuff really works I had very poor millage as well. I used this on another car and I was very impressed with the results ......Now I use one can at every fuel filter change or every 20,000 miles. I fill the filter with LM instead of diesel. It cleans the injectors.....
That brings me to the next subject ..... I found a very black substance in my fuel filter one time ...I always cut them open!... To my surprise I found that the fuel supply hose and fuel tank return hose were deteriorating.
They start at the firewall near the brake master cylinder.Then go down and around and up to the injector pump and to the large filter. They need replacing. Now is a good time to replace the fuel return lines on top of the engine ... under the black cover .....The rubber deteriorates on these lines too contaminating the system...
You will also find the flexible brake lines up front deteriorate as well . They cause the front brakes to drag ....Jack up the front and the wheels should spin freely ...if not time for new hose.
Check your tire air pressure the new tires allow more pressure try 35 PSI of air
In any event I average 36.6 MPG with my car ......

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2003 SLK 230 (85000)
1999 E300 Turbo Diesel (388,000)
1991 350SD Turbo Diesel (185,000)