What he said...these glow plugsa re actually 6 volt plugs with 12 volts of current going through them (thanks Ford!
). This means that, if they're left on for longer than a certain time, they'll burn themselves out...this is also why they heat up so fast.
Last I checked, the general consensus is that the plugs shouldn't stay on longer than 8 seconds without an 8 second "off-time"...
And, if you've got Autolite or Champion plugs in your engine, BE CAREFUL WHEN REMOVING THEM!!! There's a very real chance that at least one glow plug tip swelled up, and if it breaks off when you're removing the plug, there's a very real chance that you'll have to pull that cylinder head to get the tip out. If you get the piston to TDC before removing the plug, a broken tip will stay in the precombustion chamber, and you still have a prayer of getting it (a common technique is to pull the injector and stick a shop vac suction in there and blow compressed air into the glow plug hole to hopefully dislodge the tip and suck it out).
My condolences, but this is NOT going to be fun...
You'll be lucky if all you need to replace are the glow plugs. When you buy new plugs, you're best off with Beru/Motorcraft plugs.
Good luck!!!