I've been wondering about the same thing. i think my new shift knob is in the mail. I missed it because it snowed and rained soo hard on the first day of spring here (so i was basically stuck here and there.)

so all I have to do is take the console out, take the plastic cover out, and unscrew the nut right? I don't think I can unscrew the shaft, can I? Because I tried twisting the knob (in hope of unscrewing the shaft, but it did not work).

I was also thinking about that idea of choppin off the rubber knob and buy a nice leather/wood shift knob off a new E-Class or something and glue it in (or even figure out a different way). I know that some guys have done this in Indonesia.
At least if I screw it up, I'll have the wooden one with its shaft already installed... rather than having to drive it with a metal shaft only...

Maybe I might be able to make a thread for a shift knob by borrowing something from the Engineering Manufacturing department... (if they'd let me)

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2008 BMW 335i Coupe