OVM - nope haven't done it - I've thought about it repeatedly, going back and forth.
Usually doesn't get all that cold here at the house - probably the only place that I would use it - since it's kinda hard to find a plug out on the road.
Thus far I've had no problems starting in really cold temps. I'll sometimes cycle the glowplugs more than once if it's really cold out.
One thing I have been doing is making sure that when it gets cold out (less than 40F) is to punch the coolant heater booster button and turn it on to reduce warm up time (since that is where the majority of cold-start engine wear occurs)
Once I'm rolling down the road the engine will generate enough heat to keep the coolant temps up and I'll turn it off - unless it's really, really cold out - say more than 10 or 15 degrees below zero - then I leave it run.