For those looking for a more comprehensive solution, consider the Code Alarm available from Crutchfield:
I paid about $100 with the necessary relays and diodes (Radio Shack) and have the whole thing wired into the vacuum pump in the trunk of my 1990 560SEL. The advantage is that this installation optionally allows visual confirmation (1 flash of the parking lights=locked, 2=unlocked) and aural confirmation (I used an old horn from my BMW bike mounted outside under the rear deck, and a relay - the Code Alarm beeper is way too quiet to be heard).
This should take a couple of hours but took me much longer as Crutchfield provided the wrong relay holder/wiring. However, they did work with me to sort it out.
On a good day mine has a range of 60 yards.
You can also set it to lock the doors when you start the engine, but in my case that also sets off the factory alarm and I have not yet worked out how to defeat that 'feature'.
I have had it in daily use for 9 months now and the only thing that has gone wrong is the battery died necessitating reporgramming, a DIY job. The kit comes with 2 remotes.
If you want to use this on earlier (pre-1986 I would guess) cars that do not have the auxiliary vaccum pump, you will have to deal with the additional complication of lock actuators.