No they don't. Mine started at -12 with no glow plugs and no grey smoke, they don't need them, give it up. :p
EDIT: Actually, if your HDi does need the glow plugs to start it's probably an indication that your injector nozzles are well past it, can't think of any other reason they would affect it.
Further edit: That's given me an idea, i wonder if it's lack of compression causing the starting problem? Maybe partially sticking valves..? Don't know, i'm guessing here tbh, don't be worried because i'm probably talking nonsense.
EDIT: Actually, if your HDi does need the glow plugs to start it's probably an indication that your injector nozzles are well past it, can't think of any other reason they would affect it.
Further edit: That's given me an idea, i wonder if it's lack of compression causing the starting problem? Maybe partially sticking valves..? Don't know, i'm guessing here tbh, don't be worried because i'm probably talking nonsense.