Your idea is very do-able. The 617 turbo diesel engine should bolt up w/o
too much trouble in a C126. The sedan model came w/ the 617 (300SD), so, theoretically it shouldn't be too hard. (Could probably use a later diesel/later SEC too, but obviously, price would go up.) You would need the rear diff out of the SD as well, unless you prefer to be overtaken by Amish whilst trying to accelerate. You may need to man a driveshaft, you'd have to research the lengths of each and see how close they are. The most difficult thing would be having the patience to shop for a resonably priced SEC (ie; nice, rust free body and a blown up/high mi motor) and a (preferably wreck low mi) 300SD parts car, preferably of the same year. Hell, I could probably do it for less than $20k... Gas-to-Diesel is a hell of a lot easier than diesel-to-gas...no electronics

.
I did some research on the subject and actually considered doing it pretty seriously for a while. I think that the SEC is the sexiest car Mercedes made (through the 70s-80s anyway) and I love the clatter/economny/reliablity/fun of a diesel (of course mine was going to have an intercooler, beefed up pistons etc, and be pushing mid-20's in boost... Hey, if you're building it, you may as well
build it right?

Besides, if you are going to justify a diesel SEC, it should be
fast 
)
Another option you could look into is a mid-80s 300CD, the SEC's little cousin. You should have no problem finding a decent example of those cute little w123 coupes for that kind of $.
But for pure bling/shock value, esp among the Mercedes crowd, you'd be hard pressed to beat pulling up in a SEC that had "300SDC Turbo Diesel"
plastered across the back!!

LOL
-Matt-