Congrats on becoming a MBZ owner!
From my experience, I have found that the 4 speed normally starts in 2nd, so the next shift is to 3rd and the "second" shift is actually to 4th.
When you say that you are getting great fuel economy, let us know what you are getting.
Again, I have found that I am getting anywhere from 19mpg in town to as high as about 25mpg on the road. This goes for my 190E, 300TE and 300SL with slight variances for summer vs. winter.
'90 190E 2.6
'87 300TE (gone to car heaven)
'84 190D (passed along...still in the family and used on a daily basis)