From everything I've seen ,the 300D and 240D get almost exactly the same MPG. In the 22-30mpg range. I've seen some 240D's that can squeeze into the 32mpg area but with the extra bulk of a W126, you would more likely get less MPG than a stock 300SD.

I can see only one way of getting significantly better MPG than a 300SD. Installing a turbocharged OM601 (Never built, it would have to be made) or a Turbo OM602. A turbo OM616 is possible, but would still have to work hard to best the OM617's numbers.