That does seem like way too often to me. I've had the same pencil-style glow plugs for years.

How long do you keep them on before you start the car? I've heard that you're not supposed to let them run for more than 10 seconds. If it's cold out, the idea is to do it multiple times, not leave them on longer? If you replaced the loop style GPs with pencil-type, the relay may not be shutting them off correctly...

Have you replaced them any of them more than once? If not, maybe they were just nearing the end of their life and now you're using them more harshly in the lower temperatures... Perhaps once they're all replaced everything will be fine.