You may also want to check the fuse on the firewall, just to be sure.
I just replaced my relay, found it was not getting power to the plugs, and with the new relay ,OEM from the dealer, there is still a slight humm.
To test you relay box follow the steps
here .
Even when the glow plugs get hot, they may not be getting hot enough. You could take em out and bench test em to see if they do 'glow', however this may not be enough, I tried.
If the ohms check out ok on all the plugs, your best just replacing them, you could most likely do that first and solve the issue.