I put the rear headrests in the wagon a couple of years ago. You can buy a kit for the recievers from Mercedes. At least you could in 93 when I did this. The reciever kit looks the same in the front and middle seats in the wagon. I don't see why it would be different in the rear seat in the sedan.
Consider what lietuviai posted. It does block visibility. Our SDL had the non folding rear headrests and you had to be very aware of the lack of rear window visibility. Our 99 E300 had the auto folding rear headrests and we really liked that. But after retracting them you had to have the rear passengers extend them.
A lot of european cars had the rear headrests for whiplash protection so it is possible.
As far as I can remember about the job.
Remove the rear seat
The kit is pop riveted into place. The holes are already there.
Cut holes in the upper section fro the headrest and install the trim. This was the hardest part. You want them tight or they can come out. This happened to me.
Re-assemble the seat. and install the headrests.

Finding the headrests is the biggest problem. You may find some for sale and then have to have them covered in your color.

I can't find the reciept for the reciever kit. I would have posted the part number. I can't find it.

Dave

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1970 220D, owned 1980-1990
1980 240D, owned 1990-1992
1982 300TD, owned 1992-1993
1986 300SDL, owned 1993-2004
1999 E300, owned 1999-2003
1982 300TD, 213,880mi, owned since Nov 18, 1991- Aug 4, 2010 SOLD
1988 560SL, 100,000mi, owned since 1995
1965 Mustang Fastback Mileage Unknown(My sons)
1983 240D, 176,000mi (My daughers) owned since 2004
2007 Honda Accord EX-L I4 auto, the new daily driver
1985 300D 264,000mi Son's new daily driver.(sold)
2008 Hyundai Tiberon. Daughters new car