As far as I remember there were at least 2 earlier songs written about Grace Darling (not to mention march, waltz and cotillion I think!), nearer the event, ca1840s, but the McGlennon version, written as Steve says much later, seems to have been the one that caught people's fancy, being widely (geographically) collected.

When I was looking for the sheet music some time ago, the earlier ones were available, but I could only find the cover of the McGlennon.

Mick