I've used the Wheelskin brand. They seem as nice as you could want, solid leather, easily cleaned. It will take a little stitching, but the kit contains the needle and thread. If you have to take the cover off any time in the future, you can always get similar sturdy thread from Tandy Leather to put it back on.

I have a sand-colored one I removed from my W123 after a brief time (the wheel cover was fine, but I traded the car) and it has the needles and extra thread. It might be too big for your CLK's wheel, though. If you're interested let me know.

As far as the harsh sun, I agree; I live in New Orleans. My advice is to get a reflecting sunshade for the windshield/dash (and another one for the rear window, if you leave the car parked in the sun all day). Keeps the interior cooler and protects your interior.

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-- Paul W. (The Benzadmiral)
('03 Buick Park Avenue, charcoal/cream)
Formerly:
'97 C230, smoke silver/parchment; '86 420SEL, anthracite/light grey; '84 280CE (W123), dark blue/palomino