Glow plugs unscrew but can't be removed

[EdAppleton]

So after changing the plugs it started four or five times without too much trouble. But now the car's heading back to the same problem - not starting when cold. Or eventually starting after a few attempts. I have checked everywhere I know for air in the fuel lines... Any more detailed advice? Primer a bit soft, but car doesn't start any better once pumped up again. When it does start, big cough of smoke. Once warm, runs beautifully and starts on the button. Any ideas?