Just follow the electrical connections that are attached to the glow plugs. You'll find the relay in a short time. It is typically a moderate sized black box.

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1982 240D, sold 9/17/2008
1987 300D TurboW124.133 - 603.960, 722.317 - Smoke Silver Metallic / Medium Red (702/177), acquired 8/15/2009
262,715 and counting