lindajane, your new Mercedes already has a steering wheel lock that is much stronger than any "club" device. It is very well protected, making it highly unlikely that anyone would try to steal your car unless they have the key. If you're up for some reading, this thread has a lot of info about the lock. This is not to scare you regarding your switch, but there are some good tidbits in the thread about how hard it is to get to without the key. There's no way a thief would go to this trouble for a $4000 car.
Ginger's Key Switch Thread