6x4 gator glow plug relay misfunction

I am new to this site so apologies if this subject has been covered. I have just bought an old 6x4 diesel gator (circa 1997 but in good condition). When I turn the ignition key the glow plug light comes on and I get 12v at the glow plugs. When the light goes off the voltage at the glow plugs stays at 12v. I would expect it to go off. I am concerned that by staying on the glow plugs will burn out. Any thoughts on whether this is a problem and if so where should I look.
Is there any easy way to test the relay for example.
Thanks for any input.