There are realistically, two ways to get auto-locking on the W124.
One, as GSXR mentioned, is to get the "deluxe" version of the BergWerks first-gear-start (FGS) module that comes with the "security" feature. Not all of them had this -- there was a basic model without the "security" and "sport" modes and an advanced module that had the "security" (locking feature) and "sport" modes that gave an extra FGS setup that held the first-gear longer than the standard setup.
The BergWerks FGS security mode is adjustable so that you can activate it at the vehicle speed you want to. I believe it came from BergWerks set to trigger the locks down at 5MPH.
Unfortunately, new or used BergWerks FGS modules are as rare as hen's teeth to find, and are pricey when they do surface. I have a deluxe model sitting on my workbench at home (and another deluxe one installed in my E500) but I wouldn't let it go for less than $1,500.
The second way would be to get a car alarm that has the capability of sending an electrical signal to the vacuum pump to activate the locks. This is common and easy to get with just about any alarm nowadays. My wife's 1995 E320 wagon has such an alarm installed that does this -- I disconnected the alarm itself but kept the door-locking feature enabled for her security. The doors lock as soon as the ignition key is turned and the engine starts. I don't know if this is adjustable or not.
As far as ASR defeat - this has been well-documented here, on 500Ecstasy, and at the PeachParts Benz forum for many years. It costs about $50-75 in parts (you need a multi-pole relay and lots of wiring, plus various & sundry other minor items, as well as lots of time to wire it properly and reliably). I'd say it's a tedious enough job that it would generally be a "moderate DIYer" type of job. Not for beginners, but not brain surgery either.
Agree with GSXR that it doesn't have much of a place in day to day driving. But it sure comes in handy at the drag strip.
Unfortunately, over many years I've found that chicks don't dig smoke shows all that much -- it's mainly a guy thing -- so using your ASR Defeat switch frequently won't really get you laid. It's far better just to be chill and look cool. Chicks don't really dig NOS either, until you give them a hit or two off the bottle......
Cheers,
Gerry
