As far as glow plugs are concerned, if this is like most Mercedes, definitely wait until the light goes out. These days they glow pretty fast and start pretty well. Even my old 240D with slow series-wired glow plugs would start reliably down to about 20 degrees with a good battery. After that you'd better be plugging it in. Battery condition is vital. A battery that seems good and cranks for a long time will not work if it doesn't crank fast enough.
I don't know whether this is an entirely new design, but previous MB diesels have used a combustion prechamber with a ball in it. If it's one of those, ether starting is a complete and utter no-no. It can blow out the prechambers. Roll it down a hill, light a fire under it, put gasoline in the engine oil (no kidding, it's one of the extreme measures endorsed by MB for cold weather), but don't give it that standard "my john deere won't fire" little squirt of snicker juice.
I never worried too much about warming up my MB - just wait for the knocking to calm down, and then drive off gently. Remember that diesel knock is not like gas engine knock. It is not precombustion but late combustion. If the piston descends before all the fuel has finished its burn, it makes a bang like a firecracker in a barrel, and that's what you're hearing. Diesel knock doesn't do any damage. Usually it will subside when the cylinders warm up.
As a long time MB diesel car driver, I've found that the best fuel came from a truck stop that uses an additive package called "OTR." My local Citgo truck stop has this. Look for it on the pump. It seems to knock less, starts better, etc.
As noted above, let it idle rather than shutting it off for short periods. A diesel uses almost no fuel at idle, and you'll probably use more for a restart than you do idling for a half hour.
General turbo wisdom is not to shut down until you're sure the turbo has spun down and cooled off a bit, because its bearings are pressure lubricated.
My son drives one of these for work (auto parts route) and likes it a lot. Good luck with yours.