I also had this problem when I first bought my SD. If you have a digital volt meter
or any resistance measuring device you can ohm out each glow plug and I bet you will find one that is open. I did and replacing just the one solved my problem. The resistance should be around .6ohm depending on your meter. The important part is that they should all be within .2ohm of each other.

hope this helps. SKI

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Ski
"Love them diesels"

63 190D (sold)
84 300SD
97 Dodge Cummins
97 HD FLSTC(if Harley made a diesel I'd have one)