Once a diesel fires up, in general, there are only two ways it can stop. They are from fuel or air starvation.
Sure there are other expensive ways for a diesel to die, but 90% of the time it's either fuel or air. Of those, it's almost always fuel starvation. I'd replace the filter and, while you're at it, I'd also buy a second filter just in case you have a really contaminated batch of fuel. Buying two filters at time could save you a trip back to the dealer. If there's a water trap, check to make sure it's clean.
If both filters clog up then you should drain and flush your tank and fuel lines. The lines after the filter should be OK as the crud should have been caught in the filter. Unless you're sure the air filter in clean, why not change the air filter at the same time? That takes another potential problem out of the mix. I didn't check where you live but if you live in a cold part of the country and you have summer diesel it could have gelled up. Likely not the problem, but you never know,