Assuming the OP has an OM606 engine, I would heartily recommend this approach, which will cost you some injector heat shields, probably a meter of the injector return line hose, and an oil change. Apply your penetrating oil INSIDE the pre-chamber to the carbon-bound end of the glow plugs. You'll need to make a hose with a bent tip to reach inside and around the corner to the base of the glow plug, I used a piece of old vacuum tubing heated with a hair dryer or a propane torch to soften and bend it.

Start with a HOT engine, drive it around for at least 15 minutes past the time when the coolant reaches normal operating temperature. Immediately plug in the block heater once parked, and remove the intake manifold, injection lines, and the injectors. Apply your penetrating oil to the outside of the glow plugs, and inside the pre-chambers to the base of the glow plug element, where the carbon packing is probably occurring.

Go very slow and easy with the torque on removing the plugs, stay below 45 Nm. Jake's tip is good, you may have to cycle between loosen / tighten to allow the oil to work its way in.

I LIKE the wax idea for the outside of the glow plug, there indeed may be galvanic corrosion between the steel plug body and the aluminum head. More heat is only going to help.

__________________
Respectfully,
/s/
M. Dillon
'87 124.193 (300TD) "White Whale", ~392k miles, 3.5l IP fitted
'95 124.131 (E300) "Sapphire", 380k miles
'73 Balboa 20 "Sanctification"
Charleston SC