There are numerous steps to be taken and all are documented at:
http://mb.braingears.com
Here you'll find the doc for your 124 car.
You may obtain the tools at:
http://www.************************
or
http://www.baumtools.com
Some have claimed to have done this w/o pulling the steering wheel. I suppose it's possible, but believe it to hard to do w/o first removing the steering wheel. There's a write-up on doing this for a 190E at:
http://www.2phast.com/190E
Click on -> CLK55 Steering Wheel
Same setup as your 124 car. There are 2 torx screws holding the air bag cover on. They are on the backside of the steering wheel. In my case a torx 27 size is used. Some here have reported size 25 and 30. I suppose there may be a different torx screw size used between the different models.
If air bag equipped, remove battery ground strap first and disconnect red SRS plug under passenger side floor. The exact location is documented in the braingears doc - section on steering wheel/air bag removal.