I too used the small 1/4 inch drive socket set with a small extension attached to the socket. I soaked the nuts first with penetrating solvent. If you have access to a MitiVac, you can easily check to see if the EGR valve will hold a vacuum (it should). Mine looked terrible, but worked fine nevertheless. I guess you can clean the EGR valve with solvent, while you had it out of the car.

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1994 E320 Cabriolet
1992 300CE (Sold)
1991 300SE (Sold)
1986 560SEL (Sold)