The best way to get readings is when the car is warm, which means the O2 sensor is in business.
Pin 3 and 2 are specific to my car, you will have to check your tech manual to identify the Lambda pins. As to the EHA, you simply disconnect its harness, you will connect one connection of the harness to the one of the EHA's two pins then you will connect the other pin to the Ammeter (Multimeter set on Amps, with the leads in the proper socket) lead (red for example) then connect the other lead (black) to the remaining connection on the harness. Set the calibration to read current in the 1 to 10 mA and you're good to go.

I got a very brief chance to play with the car today, but was also limited by the fact that it isn't starting, I think my battery is going. Tomorrow will be a better day for me to work on her anyways.

My car is a '89 300E so the X11 terminal is the same. In regards to the EHA, I disconnected the harness then connected what would be pin #2 of the EHA to connection #1 of the harness. That left connection #2 of the harness open for me to probe w/ the black lead of my Ammeter. The red lead went to pin #1 of the EHA. Ammeter was set to 300mA (all I have is 300mA & 10A). Finally, I did not get any sort of reading either with the key in the 'on' position or completely off. Does the engine have to be running in order to get readings?

Yes, the engine must be on.