Agree with Jeremy to test all glow plugs and the 12v supply to the relay with a multi-meter, this should rule out wires too if they test all good- you can also open up the relay with a screwdriver and visually inspect/test with the cover off to make sure it's operating ok. My previous car's relay started to play up at about 195k.

You may also have a small air leak into the system, again my old car had this and ran rough in winter at start up 'till it bled out...

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1993 320TE M104
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past:

1983 230E W123 M102
1994 E300D S124 OM606 (x2)
1967 250SE W108 M129
1972 280se 3.5 W108 M116
1980 280SE W116 M110
1980 350SE W116 M116
1992 300E W124 M103
1994 E280 W124 M104
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"music and women I cannot but give way to, whatever my business" -Pepys