My 1986 VW Jetta seems to have a cold air sensor switch that isn't working. When I turn the key on and wait the little yellow light glows and then turns off just like it should but the plugs don't warm up. When I run the current from the battery directly to the the glow plugs (6-8 seconds) the car starts fine.
Do you have a multimeter? You should be able to check whether they are getting any voltage by measuring their feed. Assuming that they are not, you can then try and trace back the circuit.
Being an older car this should be quite simple as the wires will be colour coded - there will be a wiring diagram in the back of the Haynes manual. I don't know if they'll be fused or relayed (I suspect not, given the age of the car), but you ought to be able to trace the feed back to the switch and work out where the break is.