The threaded portion still stuck in the head? If so I say go for it. Just make sure you tape over the end of the wire so it doesn't contact anything and short out. You'll get a code for the glow plug obviously but its not the end of the world.
I just had 3 of these damn things do this while doing head gaskets, ruined my head and had to get a new replacement head. You will be fine leaving it in there. Like mentioned put some good tape job over the wire. You can have the glow plug "turned off" with EFILive tunes if you want to eliminate the code/CEL.
Great, will tip that's left on the glow plug fall down in the engine as the top skinny rod came out? I was thinking were the easy out snapped off inside, I was thinking of some quick steel over the tip of what's left? Thanks for all your advice and help!!!!