Here's how I started my rebuilt 6.2L turbo diesel and recommend you do the same:
First, pull out all the glow plugs (or leave them out if you haven't installed them yet). Leave the injection lines cranked down tight. Pulling the glow plugs out allows the engine to crank easily without compression...it's easier on the starter and allows you to prime the fuel and oil systems.
Make sure the engine is full of oil, has new oil and fuel filters, and the radiator is installed, full of coolant.
Next, disconnect the oil feed line going to the turbo, and put the end of the line into a bucket.
Next, crank the engine over until a good supply of oil comes out the feed line (max. of 30 seconds cranking time).
Reconnect the feed line and let the starter cool.
Next, crank the engine some more at full throttle, making sure you have good oil pressure, and only cranking 30 seconds at a time, allowing the starter to cool.
Check for any visible oil or coolant leaks. Double check oil and coolant levels.
The goal is to crank the engine over until fuel mist starts spraying out the glow plug holes. It doesn't take very long.
Once you have fuel mist squirting out, reinstall the glow plugs, hook up the glow plug wires, heat up the plugs for 10 seconds, and then start the engine. You might have to hold the pedal down full throttle for a while, it'll probably start and die a few times until the air works out and you can keep it running.
Following these steps should allow you to start it without any fuss.
Casey