i know nothing about the jag diesel but know a little about diesels in general, i don't think it's a glow plug problem, glow plugs are only used to heat the chamber and surrounding area of the engine block up before you start the car, a diesel engine works solely on compression to raise the temperature of the air to a point where the diesel will combust spontaneously when introduced to the hot high pressure air (unlike a petrol engine that needs a spark to ignite the air/fuel mix).
The "glow plug" light will switch off when the chamber is up to temp, and the glow plug will switch off as you start the engine (some engines keep the glow plug on for a bit to help lower emissions)
so if the light goes off, and the car starts, that makes me think something else is the problem
when was the last time it was serviced and had the filters changed ?
have you checked for codes ?
did the light used to stay on longer ?
what's the mileage ?