If it starts rough, it is not killing the engine but it isn't particularly good for it as the lash in many components will experience more wear from the rapidly accelerating/decelerating crank etc. as it misfires and runs. You will also be washing lubrication from cylinder walls in cylinders not firing, and pollute the oil with extra raw fuel.

WD-40 has not in my experience been useful as a penetrating oil, Kroil, PB-Blaster, and Liquid-Wrench have worked better and many here have preferences also including home-brew, I don't think you'll hear many experienced mechanics recommending WD-40 for much more than starting fluid. However, soaking is a good start. Note though that the problem with OM606 glowplugs isn't as much the threads, as the carbon on the glowplug further down in the hole (which will grow as it starts without that cylinder) causing them to be hard to extract.

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Gone to the dark side

- Jeff