I have an R-Class 320cdi, and had the same issue with the glow light staying on until after the engine had started. Once the engine warmed up/after a few minutes the light went out.
I replaced the 6 glow plugs (No point in doing one as the cost is low relative to your time in getting to them!) in about 3 hours and now all is much good.
I read a number of posts prior to doing it, and read that some could seize/shear off on removal, including seeing a very painful extraction on youtube, but as I said they all came out pretty quickly and easily in my case. Just don't over torque them on the way back in!
If i remember correctly I needed a 8mm long reach socket.
Regards
Rob.