Cold glow plus are colder :)
The difference between hot and cold glow plugs is the amount of heat they hold. By changing the glow plug from cold to (let's say) medium, ignition timing will change - will happen faster in the cylinder (given that you don't modify the needle settings), or will happen at a lower pressure.
A hotter plug will allow for faster acceleration if the engine is retuned after changing it.
Edit: I would recommend to use the glow plug supplied with the engine in the beginning, or if one is not supplied, use the one that the manufacturer recommends. After you break in the thing and tune it well, try to increase the heat range just a little bit (from cold to medium cold, from medium cold to medium and so on). See how the engine behaves (torque, heat), make sure you retune the engine after changing the plug.