Sounds like the glow plug relay died on you. The heat was from the points having a bad connection internally. Time for a new relay.

In the meantime, remove the fuse from the GP relay just to be safe and try using WD-40 to start it, OR just wait until you get a replacement GP relay... At 20˚ I wouldn't expect it to be very easy to start without some preheating.

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Current stable:
1995 E320 157K (Nancy)
1983 500SL 125K (SLoL)

Gone but not forgotten:
1986 300SDL (RIP)
1991 350SD
1991 560SEL
1990 560SEL
1986 500SEL Euro (Rusted to nothing at 47K!)

Gone and wanting to forget:
1985 524TD 167K (TotalDumpster™) [Definitely NOT a Benz]