Air lock is the #1 thing to ensure against -
If the heater is only blowing cold, there is no flow through the head (as the heater matrix is in series with the head) This could be for various reasons, but the easy one to make sure of is that the pump isnt air locked.
First thing to do is cut the top off a 2ltr coke bottle, to make a large funnel.
Loosen the bleed screw on the top of the thermostat housing (google 300tdi bleed screw if you need to)
Start the engine, and then hold the coke bottle funnel tight into the headder tank, and fill it with water, so as the level is way above evreything else in the engine bay. When air stops comming out of the bleed screw, get a friend to nip it up whilst you still have the coke bottle full.
Leave the headder tank top off whilst you bring the engine up to warm. With luck, the pipe that comes out of the head will now get warm. If it does not then you have other issues, but the above is the very first thing to try.
If this works, suck some water out of the headder tank (syringe etc) to bring it to the correct level, and youre done.