Does it quit as soon as you let the key return to run? Or does it stagger and sputter a while after that?
If it's the first then look at the voltage supply to the hold coil in the fuel solenoid (small colored wire) to the connector. Also look at the fuel solenoid boot. It may be rotted and is tangled up in the linkage.
If it's the latter you probably have a really bad air leak in your fuel supply system.
Check the fuel hoses. If they even look odd, replace them. You can't see an air leak. If some fuel is dripping from a hose then it's really bad. In any case, if the hoses are not bad now they will be. You need diesel rated hose. The clerks at an auto parts store usually say that their fuel hose will work for diesel. It will for a whlle then fail. Got to a marine hardware store or a big rig shop for good hose. Or order a kit from
http://www.fostertruck.com/dodge/default.htm
There are other possibilities, but that is the most common. You could have any of the following so don't just start throwing parts at it. Do a little trouble shooting.
Bad fuel heater.
Bad fitting on top of the fuel heater/pre-filter assembly.
Bad gasket in the pre-filter.
Bad hose between the pre-filter and the lift pump
Plugged fuel filter
Bad fitting going into the fuel filter
Bad fitting on top of the fuel tank
Bad lift pump
All of the above are cheap to fix except the lift pump which is the least likely suspect.
All of these have been discussed many times on this forum.