Does your W124 key look like a W123 key or like the double cut W126 key? Doing a quick search it looks like the W124s use different keys then either?
My local VW dealer can cut steel keys. I would assume a good locksmith can too, as long as they're the kind that are cut, not milled. I've not found any non-dealer who can cut keys that are milled. VW wants $90 for one for my 99 Jetta
-J