You are correct about the cigar lighter in most newer MB's not being hot when the key is off. In the W210 you can wire to the charging post under the hood and run the wire thru the firewall. There is a black plastic box just behind the fuse panel box. I believe you can run the wire thru the firewall at that point.

I'm sorry if this offends you; but personally, I think putting a switch in the Lojack circuit is a bad idea. The odds are that sooner or later you will forget to switch it back on and THAT'S when your car will be stolen. You will call the police who will say 'Lojack signal? We don't have any Lojack signal'