If you have a volt/Ohm Meter check the Glow Plugs. The Diesel Giant site has a pictorial under Glow Plug Repair.

If your Glow Plug Relay is connected to a Temp Sensor in the Cylinder Head try disconnecting the Wire and see if the Light goes out. I am not sure what year the temp sensor was put inside of the Relay but have read some of the older one had the temp sensor in the Cylinder Head.

Is the Relay itself working OK.

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84 300D, 82 Volvo 244Gl Diesel