Instructions in my 126 CD call for removing the steering wheel.
Some claimed they've done it w/o pulling the steering wheel. I suppose it's possible, but believe it's to hard to do w/o first removing the steering wheel. There's a write-up on doing this for a 190E at:
http://www.2phast.com/190E
Click on -> CLK55 Steering Wheel
This should work on 124s and 126s as well. There are 2 torx screws holding the air bag cover on. They are on the backside of the steering wheel. In my case a torx 27 size is used. Some here have reported size 25 and 30. I suppose there may be a different torx screw size used between the different models.
If air bag equipped, remove battery ground strap first and disconnect red SRS plug under passenger side floor.