Its also a good idea to have the engine warm when you're doing this so the car would start easy anyway.

I have a warm engine, pull the old filter, fill with new filter with "diesel Kleen", install. Crank with the go pedal about halfway down. When the engine starts (it should start easy since theres still some fuel in the IP) keep the rpms UP to make sure it stays running when it inevitably stumbles. The stumbling will usually even out in a second. I still keep the rpms up (maybe 1500 rpm) for another 30-40 seconds just in case.

I usually do the little see through filter first, run the engine a minute and then change the cannister, that way I'm not dealing with air from both at the same time.

__________________
Sadly Benz-less