I don't think you need a battery blanket. If it gets down really cold and the car is hard to start, you might plug in your block heater, if one is installed.

Make sure your glow plugs are in good working order.

Winter is kind of a double-edged sword for diesels. They don't burn fuel well until they warm up, but once warmed up the cold intake air is more dense providing more oxygen for the combustion cycle.

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'95 E320 Wagon
'85 300TD "Puff The Magic Wagon" - SOLD
'19 Mazda CX-9 Signature - Wife's sled
'21 Morgan 3-Wheeler P101 Edition - SOLD
'95 E300d - SOLD
'84 300TD "Brown Betty" - Miss this one
'81 240D "China Baby" - Farm grocery getter