The brakes are pretty easy to change on these cars. You'll want to reference this article from the DIY articles:
http://www.peachparts.com/Wikka/W124BrakePads
It has pretty much all you need. Most rotors have wear indicators and don't need to be replaced every time. The wear indicators are a small notch along the outside of the rotor (see my pic below) - just check them out - there are also minimum thickness specifications that other techs could post.