Yes. Crank the engine over a few times then jump out and press the valve on the filter head. If you don't get fuel, you've got air in the system which is why its a PITA to start.
By fix the returns... I mean send a message to Typ4 on here and order a return kit from him. That kit comes with all of the plastic caps and o-rings on top of the injectors, and the hard line olive seals on the filter head, injection pump feed, etc.
I would pick up some 1/4" tygon hose to run between the return caps. That way you can see if/where air is coming from.
There is a rubber line that goes from the hard line on the frame rail to the lift pump. Replace that as well.
Purge the air from the system and see what happens then. You can press the valve on the filter head while the engine is running and it should flow fuel from it. If its burping air, Let it run for a bit and check it again.
The return caps, o rings, and lines are the most common source of air leaks.
-EDIT-
Also... which i completely missed saying... If its cool out and the engine hasn't been ran, without glow plugs, it most likely wont fire off without starting fluid. If it starts and runs smooth on starting fluid, and starts fine when the engine is warm, fix the glow plug system.