Its not easy... First if you using an 85 SD, you are going to have to custom make a pilot bearing as the hole is 34mm in diameter rather than 35 mm. Second you will have to do alittle cutting on the 240D pedal assembly, There is no upper hook so you will have to cut that off. The pedal height is different but its managable. You will also have to live with just the 4 booster bolts because the W126 brake pedal assembly has a bracing arm that extends downwards.
The shifter does bolt in but is very short for a W126 console, you will not be able to use a 240D shifter boot or console section The shift rods are all much much too short, so you will have to make new ones.
Now the hard parts. The speedometer in a W126 is electronic, the 240D manual uses a cable. I cut up the W126 cluster to install a W124 Speedo head, you will have to come up with your own solution.
The driveshaft will have to be lengthened, I thought I could use a SDL driveshaft in a 500SEC but i needed to be lenghtened 2.25 inches. I was able to use the 240D trans mount and bracket by drilling extra holes in it.
The clutch hardline had to be made custom because the 240D one did not fit.

Thats pretty much it, Results, its ok, no I wouldnt do it again, I used a 240D flywheel that was suposedly matched to the flexplate, but its not and i have a bad vibration around 1600 rpm and at idle. which is currently set at 850 rpm. I cant start the car on a big hill because I used a 2.24 differntial.

I am going to balance the driveshaft and replace the diff with 2.47 and see if its easier to drive.

So as you can see by the list of stuff I mentioned its alittle more involved that a 300 D conversion.

__________________
1984 Euro 300SDC, (4spd standard)
1986 Toyota Landcruiser Diesel HJ60 5spd X2

Gone but not forgotten (some sold, some stripped)
1983 300 SD, 1985 300 SD, 1983 240D, 1986 300 SDL, 1985 300 SDL, 1983 300 D, 1984 300 D, 1985 300SD, 1987 300 SDL, 1983 300 SD, 1985 300 TD Euro, 1983 380SEC, 1990 300 D, 1987 300D, 1982 300D, 1982 300D, 1994 E420, 1987 300 TD, 1987 300 D, 1984 300 D