If you replace the supply line and the return line at the tank you will definetly want to prime the lines before trying to start. If you are just replaceing the lines under the hood you don't have too, but it will make it much easier to start up the first time after the change.
Pretty sure the sedans are like the wagons. On my wagon the supply and return lines are on the bottom of the tank which requires a nearly empty tank to remove the lines, unless you want 20 gallons of diesel all over the place, or you better have a big storage container.
Make sure you put a cigar hose back in place of the old one. I put a straight hose on and teh car starting making a pulsing noise. Put the cigar hose back on and it went away.

Also Diesel Giant has a DIY Fuel Hose Install--http://dieselgiant.com/mercedesfuelhoseinstall.htm

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