Jared,
If your car was generating a glow plug DTC, diagnostic trouble code,
usually P0380 or similar if its for a specific plug for the newer models,
the CEL would come on shortly after starting - within ~30seconds - 1 minute,
and would stay on all the time as long as it was running.
Once it generates the DTC,
this will happen everytime you start the car until you
fix the problem and use an OBDII scan tool to clear it.
So if your CEL is not staying on all the time, its not glow plugs.
Use an OBDII scan tool or VAG-COM to findout if you have any DTCs.
Many auto parts stores are now letting people use one to read and clear the DTCs.
Or better yet, find someone with VAG-COM to get the codes.
It sounds like your testing the plugs correctly.
I use the lowest setting you have.
Mine generates a steady beep on this lowest setting when it measures a current.
If you use too high of a setting,
the resistance may be so low it does not register.
When you test it, touch the + to the tip of the plug and
the - to the block somewhere close to the plug.
Also test the harness itself as described in the original posting.
Good luck