thats probably the one that hasnt been changed. sounds more like glow plugs if only during the cold. OR could be oil leaking into the bore somehow when vechile is left for a while. Although i would of thought you would notice during the summer
You can always test the glow plugs.
Disconnect the power lead to all 4 glow plugs, Long bit of cable connected to battery + and flick it on the top of the glow plugs. It should spark as it is making a circuit. DONT hold it too long!
The one that doesnt spark is the one that doesnt work