The glow plugs automaticly come on every time you turn the key to the run position (before you turn to the start position). Don't you have an indicator on your dash that shows you they are on, and then goes out indicating you can now start the engine? My glow plugs will stay on for about 5 seconds when it's in the 30's F and longer when in the 20's F.
Even when the tractor has been run and is warm the glow plug indicator comes on for a split second before I turn the key to "start". Glow plugs, at least on my
L3940, are not something I can turn on or off, or have a choice as to whether they come on or not. It's automatic. And the colder it is outside the longer they will "glow" to preheat the cylinders.