I found the answer to my question from 4crawler site.. Copied to give info
The glow plug relay is the heart of the glow plug system. It gets input from a temperature sensor on the cylinder head which it uses to adjust the duration of the glow plug pre-heat cycle depending on the engine's temperature. Longer when cold, shorter (or not at all) when its warm (or hot). The sensor it located on the heater hose fitting on the end of the cylinder head. It should be a brass sensor with a single connector stud on the end, screwed into the body of the fitting. In fact, you should actually have two such sensors, the other one is used for either the coolant temperature gauge (or idiot light) on the dash. An obvious question arises, which is which and what happens if they are mixed up?Well, it sort of depends. On some early VW diesels (maybe through 1984), the senders are different. If you have only an idiot light, you can tell its sensor easily by use of an ohm meter. The sensor will probably read open when cold and then close when hot (to turn on the idiot light). The glow plug sensor will register some resistance (between 100-200 ohms when cold). If you have a temperature gauge, its sensor will register a higher resistance at any given temperature than the glow plug sensor, probably 500-1000 ohms when cold. If you get the two mixed up, you'll find the glow plug relay may cycle on and off after starting before the coolant heats up. Since the other sensor registers higher resistance, the relay is thinking it is *really* cold. You may also get the little yellow glow plug light blinking on and off. (Both of these symptoms happened to me with switched sensors).On later VW diesels (around 1985) the two sensors (assuming you have the temperature gauge) are identical and both measure about 1000 ohms. So if you have this type of vehicle, you can't mix up the sensors.Finally, on some of the latest VW diesels, the glow plug temperature sender is now a simple on-off device. According to the*Bentley '85-'92 Jetta Diesel manual, the glow plug sender should be closed below 50°C coolant temperature and open above that temperature.So, what does this all mean? It means there are lots of combinations of temperature senders and probably glow plug relays to go with them. I've found some glow plug relays are very sensitive to the temperature sender input resistance. Others tolerate a wide range of resistances (they are probably a later design). Best bet is to find a relay design that works and stick with it. If you experience "weird" glow plug problems, this is just one more variable you'll need to address.