http://www.lighting.mbz.org
Should have a full explanation of relays, and all.
I haven't rewired with relays, the standard 55w bulbs in the headlights, are plenty bright enough, I saw no reason to warrant the wiring upgrade since I wont be using the higher wattage bulbs.
What you need are the euro connectors which have the extra pin sections for the city light. They are cheap. Call phil @ Partsshop he can source you some for the car.
If you want to rewire with relays and all you still need those connectors to connect the factory wires back into the euro headlight itself.
Not sure if the part number is different for w124 and w201 euro lights. best bet is to check with phil @ partsshop/fastlane
Alon