Cold shift delay is controlled by a solenoid valve with a green vacuum hose going to the transmission. (The red one is the economy/standard mode switching.
If you don't like the way it operates, pull the electrical conenction from the solenoid.
This applies to late model 124s with multi-valve engines and 722.4 transmission, probably C class also. Not sure about others.
'08 Chrysler 300CRD (MB OM 642 engine)
'95 E220 estate
'89 230TE (R.I.P.)