I did a LOT of research on this since I am planning on upgrading my brakes too. First, I would not bother with ANY W140 brakes, it is highly unlikely anything wil swap. If you are willing to spend the $50 and experiment, please let us know what you find. You didn't specify what year your CE is. The very late versions had 294x25mm brakes with 4-piston calipers (early ones had 4-piston calipers with smaller 295x22mm rotors). The real early ones, through 1989, had 284x22mm with a single floating caliper.
Now as to what will swap! From what I could tell, the later (biggest) brakes SHOULD bolt on. The only difference is the lower control arm, as Chris said, BUT I have heard of people having the swap work with the original control arms (no need to swap to the later style). I haven't personally tried it on my car yet since I haven't bought the new big rotors yet. I did score a set of E420 brake calipers, front and rear, which will bolt on. The 500E brakes are even bigger but may require the 129 hub and/or knuckle used on the 500E (there are conflicting reports about this, nobody seems to know for sure). The problem with the 500E brakes is the weight. They add SIGNIFICANT unsprung weight to the front end and that reduces handling feel. Plus the cost is very high, used 500E brakes are scarce.
As to wheels, you may need to get late model 8-hole wheels from a 93-95 model W124, as Chris said... depends on your stock ones though. I use 16-inch wheels (any will fit from from a W202/203/208/210) so that's not a problem for me.
Here's the FULL list of all parts used for all W124's (except 4Matics), check it out and see for yourself what fits with what:
(Microsoft Excel required)
(PDF version, some formatting gets messed up, plus the comments are lost)