Yup, WingNut's "How-To"s are priceless!!!
I'm not sure if the following is included, so I'll just paste in my usual boilerplate:
On your car, the computer "counts" the glow plugs in reverse order... so your "problem" GP is really # 4 - the one closest to the driver's side...
That said, the problem is quite likely corrosion inside the harness... needs a good scrubbing with a Q-Tip (minus most of the cotton) and an eletrical parts cleaner or anti-oxidant such as DeOxit D5... may need to be done several times, followed by a clearing of the CEL with either a Vag-Com or a generic OBD scanner...
Yuri.
PS: as for buying new GP's:
www.tdiparts.com was having a special recently... if Danix still has stock, it was something on the order of 4 GP's for $60, shipped...