You have to be sure the clip end of the light is on the positive terminal of the battery, and that you dont touch any other part of the plug other than the connections.
You can also check the other way round, by clipping the lamp to the earth terminal, and connecting to the lead, then turning the key to the heat position, when the circuit is okay, it lights the lamp.
I know you put new plugs in, but it might be time to take them out and check them over to see if one of them has an earth short in it. Thats the only other reason I can think of that would cause the problem you are having.
The other suggestion I would make would be to get a set of the later type of plugs, and wire them in instead, bypassing the ballast resistor entirely (well, you connect the lead to plug 1 to the end the resistor gets its feed from) and try those. Most people say they are far superior. I think a set is about £17>£20, four bullet glowplugs, and a set of wires. I have to admit, I didnt like them myself, but they are far simpler to use, and will continue to work even if you lose one (though you can tell ones down in cold weather)