Actually it isn't a relay, it's a Glow Plug Control Module. I think it's a solid state module unlike the 7.3 that actually has a relay.
Getting the latest calibration will help with cold starts. It uses the coils in the fuel injectors to inductively heat the injectors. I had my doubts about it when Ford came up with that one, but it seems to do a good job.
The other possibility is that the turbo is coked up and needs cleaning. There are moving parts in the exhaust side that get cruddy and rusty and don't really work well till it gets warm. The way you fix it is to remove the turbo, break it apart, Scotch-Bright the crap out of it and put it back together. There is a tutorial online about that.
One last thing, is it still under warranty? Depending on the date of purchase, the 5 year 100,000 mile warranty might still be in effect. It's worth a check.
Last edited by elibenson; 11-19-2009 at 06:32 AM.
Reason: One last thing..