Here's a post that talks about the installation on a W126:
Mein E-code lights are in!!!!
You don't need extra wiring or anything if you use the standard bulbs.
Mike Tangas talks about soldering a wire in, but that's only for the city lights set-up, which most people don't do. Here in the U.S. we don't have city lights.
2001 E430, Bourdeaux Red, Oyster interior.
1973 280SE 4.5, 170,000 miles. 568 Signal Red, Black MB Tex. "The Red Baron".