If all the glow plugs aren't working the relay doesn't work correctly either. Disconnect all the glow plugs and test them individually with an ohm meter or test light. Test light has to be hooked to the positive post on your battery. I the light lights up when you touch the glow plug, it's good.
One other test you can only do with the glow plug out of the engine is hook it to a battery and see if the tip turns red. Sometimes the stem turns red before the tip and then it is a bad glow plug.