I would get the headlights separately, whichever brand it is. I got my pair of Bosch clear corners from ebay for $40...
brand new too..
i'd say get the headlights first..
The connectors are cheap from the dealer..
I did install Euros in my 300CD and I tapped the parking lights' wiring and wired that to the city light connector.
not sure, which city light bulbs the Euros use (W5W - Glass base, or T4W (??) - metal base) but they are both 5W bulbs and you can always get the blue city light bulbS (they actually shine nice and white) from Philips - believe it or not, the Maybach actually uses them...
www.powerbulbs.com