Stuck and need Help please

I have a 92 F250 7.3 IDI. This truck sat for maybe a year before I bought it at a auction. When I get it started engine runs smooth. I drove it from Des Moines, IA to El Paso, TX with minor problems. Heres what I need help with. Cold starts seem impossible without using starter fluid. I replaced the glow plug control box, 7 out of 8 glow plugs. One glow plug the nut on it must have rusted through. How can I grip that glow plug and back it out? I checked the power at the glow plugs they all are getting power. Should I try to find a new glow plug harness. If so any ideas where to find that. Also the wait light doesnt light since I got in El Paso. I still hear the control box going through its cycle (clicks maybe 10-20 sec)especially now that i replaced it. Any ideas to help me with the cold start issue will be greatly appreciated. Will be moving back to Iowa soon where its way colder there. Hope to solve this before I move back.  
92 F250 chip and transcommand on the way

Are you running 15w 40 for oil, if so change to 10w-30 or better yet 15w-40 synthetic. Single temps here today and my truck starts up rite away.  

you could possibly have a few bad injectors to if all of the glow plugs are new and have power on them  

Changing you oil is not a bad idea, But if you are going to run a synthetic in a ford IDI. Be aware that these motors do burn oil right from the factory. A thinner oil might not be a good thing. As for your starting issues. Fuel is usually the problem. I had a bleed back issues when I first got my 91. The easiest and cheapest place to start with is supply system. I would focus on the mechanical lift pump and the fuel filter/water seprator. After that I would move to injectors and then injection pump.