1. When does the fault occur - cold and / or hot?
Cold only: Likely to be glow plugs (but see 2)
Hot and cold: Likely to be an air leak problem
Hot only: Probably compression problem
2. When cranking, what comes out of the exhaust pipe?
Nothing: Air leak / fuel problem (stop solenoid) - small air leaks might only make themselves apparent after a long time stood, and may be relieved by parking the car nose down.
Grey smoke: Pre-heat problem
So how to diagnose? If it will start after a bit of cranking, but then:
a) runs rough - probably one or two glow plugs down - get them changed before it won't start at all!
b) runs sweetly - probable air leak. Try pumping the fuel primer to see if this improves things.
If it won't start at all, check the exhaust while cranking - if there is some grey / white smoke coming out after a few seconds cranking you've got a preheat problem; if nothing, it's a fuel problem - in this case try pumping the primer to see if this makes it start. If not, then you are possibly looking at a fault with the stop solenoid - cracking an injector pipe to see if anything will come out might be the next step.
If you suspect the glow plugs:
Check the plugs are getting voltage - multi meter or test lamp onto the feed wire. If so, then the plugs are at fault, change them. If not, then suspect the glow plug relay - trace the feed wire back to find this, but it's usually on the LH inner wing.
If you do replace the plugs on and XUD Turbo, use ONLY Beru - other brands tend to be inferior, and don't last - and you do NOT want to do this more often than you have to
One other thing (mostly related to XUD engines) - if it runs rough after starting, but the glowplugs look OK, then a check of the valve clearances is next - the exhausts can close up on high mileage cars leading to a lack of compression when the engine's cold, making it cough.