Not sure about the W126, but on my 300E the blade arm swings down, revealing a nut that can be unscrewed. Pull the arm off, gently detach the rubber hose, and then you can mess around with the wiper blade.

The original blades have little metal strips that both lock the insert into the wiper arm and give it some stiffness. Pull each one out individually with needlenose pliers, then insert them both together into the new rubber insert (pay attention to orientation and all that, they're notched/curved), and then slide the new piece back into the arm.

It's a little bit of an annoying job, mostly due to the metal bits that make it harder to insert and remove the rubber piece.