Firstly, have they been changed before? If not then how many miles are on the engine? If there's a fair few (80k miles for example) then I'd say it's worth changing all the plugs anyway.
If you want to test them then you will need and multimeter to measure the resistance between each plug terminal and earth. I believe they are wired is series so if one is dead none will energise.
General advice with the 1.6hdi is to change all the plugs if 1 is defective. This is because the plugs are located at the back of the engine and are annoying and time cosuming to get out.
Basic method is to ensure you have a deep socket (13mm I think, don't use a Halfords Pro one, they will not fit due to internal bevel) and get the engine as warm as you can (you will be working from the top so don't want it red hot!).
Disconnect the battery following the usual procedure.
Remove the top engine cover.
Undo and remove to one side the wiring across the top of the engine.
Unclip and remove the egr to manifold pipe (bottom clip is a pain to get back on).
Check you have the right replacement glow plugs, there are ones with push and screw fit terminals, some hdi's use one type and some the other).
Hopefully the engine is still warm, this will help get the plugs out as they can be stubborn (google for reports of snapped plugs).
Slowly loosen of each plug in turn with the socket starting with the right one as it's the easiest.
If you are lucky the plug will just unscrew and lift out with little resistance.
If resistance is felt screw backwards and forwards to loosen but make sure an pressure applied is straight down, a couple of plugs on mine took 20 minutes each of careful persuasion).
4th plug is the hardest as the is a lot in the way so a good torch is handy.
Fit the new plugs, don't overtightened, just a little more than finger tight, check Haynes for torque.
Reconnect wiring harness and the rest is in reverse.
If all went OK and you have a p1351 permanent fault it should now clear on starting.