Actually what happens is this - Deere kind of "dumbed down" the function of the glow plugs.
Without doing any of the above, when you crank your engine, the glow plugs heat as you are cranking.
Most tractors you have to either turn the key backward to heat the plugs before starting, or there is a spot between the "on" and "start" parts of the switch (or sometimes a glow plug indicator light when the switch is "on"). Just cranking the engine, even in cold temps, will start the tractor. It will crank over quite a few times, and will smoke pretty good when it first fires.
By doing what the folks above said, you are forcing the glow plugs to warm before the engine cranks. This really is a preferred method as you aren't dumping fuel into the cylinders while it cranks away waiting for the glow plugs to get the cylinder hot enough to fire.
"Cycling the ignition switch" - you can either put the tractor in gear, or turn on the PTO. There is a safety mechanism that will prevent the starter from turning the engine over with either of these engaged. What will happen however, is that your glow plugs will still heat the cylinders. Just hold the starter switch on "start" for around 10 seconds - then put the tractor back in neutral or turn off the PTO, then start it. It will fire right up. You only really need to do this in temps under 30F or so. In warmer temps, the glow plugs are not in use anyway.