On the W124, it's in the same place, on the exhaust system, after the
exhaust manifold, but before the catalytic convertor. On the passenger side
of the car, just about under where the passenger seat is, you'll clearly see
the cable that goes from the exhaust pipe into the cabin floor. Inside the
car, lift the carpet and pad near the center console tunnel and you'll see
the rubber gromet that the wire enters. The three wire plug is on the
inside. Unbolting the sensor is a "knuckle buster" given the tight fit and
typical corrosion around the sensor.
Don't forget, that on the W124/W201, the Bosch sensor from the Ford Mustang
5.0L V-8 is the same part (you will have to solder on the old plug) for
about 1/3 the price of the Bosch part for Mercedes.