Some glow plugs only except certain types of ignitors, if the plug doesn't fit the ignitor properly, you have to hold it on. Also that is how I keep my car on the ground when I yank the starter.

I prime my engine a couple different ways, I usually blow into the pressure line, although make sure to be careful when you do this as it can build up pressure and send fuel into your mouth if your tank is full enough. Or I cover the exhaust while turning over the engine.
There are a few more ways that I have heard of, but I consider these the easiest and fastest.