BrettW: I don't think it goes off, either. I have used the glow plug for varying times, depending on how cold it has been overnight, per owners' manual, and it has never gone off during any period of use between 4-5 seconds and up to 10-12.
If the engine doesn't fire smoothly, you probably didn't use the glow plug long enough. You'll get a feel for the needed time, depending on temp. after a while.