We discovered we had a glow plug out when the check engine light came on and we had the code read at our auto parts store.
First you must take the engine cover off. Let me be the first one to tell you, that in this year, just pull up on the front of it, then it will slide out toward you. Other models had caps and nuts to undo, but on this year Beetle, just pull up on the front, then slide toward you.
Then take off the noise shielding. While waiting on parts, I ran the beetle without this cover and noise dampner. It was a little loud, but not enough to matter.
Now you are at the good stuff. This is the part of the engine that probably 90% of the owners never see. I don't think it looks so bad, too bad they covered it up. Perhaps they did because the engine is so small and might embarrass your Honda-owning friends with all the tourque this little engine puts out.
To be sure it is the glow plug that has burnt out and not something else, check the resistance on the plugs. They should all have about the same resistance. One of ours had a way different reading than the other three. This is where I used the multimeter to get the readings:
The red lead is on the top of the glow plug, and the black lead is on the engine block.You will notice the metalic lines going across the engine, and there is one that is plastic. This is the electric rail that powers the glow plugs. You may also want to take this opportunity to blow out the engine with some compressed air to make sure that nothing is dropped into the glow plug hole.
Firmly, but carefully pull that rail out. It will take a forceful tug, but you dont want to rip the whole thing out of the vehicle, so as soon as it gives, stop pulling. This year beetle has a different one than how the others look.
Now you will see the top of the glow plug. If you have ever done spark plugs, it is the same idea. To unscrew these out, you will need a deep socket 10mm. I would strongly advise picking up at least two extentions. I had one, and it made turning the rachet a little tough to manuver around the engine compartment.
Once it is loose, I found it easier to take the rachet off, and unscrew the rest of it by hand.They will look a bit burt, but here is the comparison between the old and new glow plug.
Take the new ones and put a little anti-sieze on it. This is the same stuff you would use for spark plugs. 
Now put the glow plug in. The first time you put one in, it might cross thread, so what I did is turn it the opposite way a turn or two, then screw it in. Use your fingers so that you can make sure it doesn't. It will go all the way in using your fingers, so do not use the ratchet until it is seated fully.
Once it is seated fully. Then you can tighten it with a rachet. Only tighten it a little, as it only is rated for 15 ft-lbs. The engine block is aluminum, so it will easily strip if you tighten it too much.
Once you are done, put the rail back on. Feel with your fingers to make sure that it is fully seated. It will NOT click, so you will only be able to tell it is done by feeling for it.
Now just put the sound dampner and cover back on the engine and fire it up. If you had an error light, it will not go off automatically. Congradulations, this procedure is rumored to cost about $500 at the dealership. With parts and the socket set, I spent a little under $50.
If you want some more info on this procedure, I used a few other websites to help me.
http://forums.tdiclub.com/showthread.php?t=225023
http://www.myturbodiesel.com/1000q_how_to/multi/glowplugreplace.htm
http://forums.tdiclub.com/showthread.php?p=483553
http://forums.tdiclub.com/showthread.php?t=198001&highlight=tdi+check+engine+light+solid
--Bryan
