'03+ Tail Light Conversion How To
I purchased a set of depot tail lights from a vendor on ebay. They are very nice- better than the stock ones in my opinion. They are about the same quality, but the weather stripping is better (it's wider).
Anyway, this is a very easy mod. It takes 10 minutes.
You need a 8mm nut driver, T15 Torx driver, and in my case a phillips head screwdriver. That's it.

This is what my 2002 S600 looked like 10 minutes ago.
The first step is to pull back the carpet from in front of the tail light assembly.

Just pull it back. Merc made it so it'll pull back easily and it'll go back in place when your done just like new.
Next, unplug the black connector to the tail light assembly.

This is a very nice way Merc did this- only one connector for the whole unit.
Around the bulbs and connectors, you will find 4 8mm nuts. Unscrew the nuts and set aside. The 4th one is kinda hard to find, it's toward the side of the car and you have to pull back the carpet a bit more to get to it. If you can't find it, look at your new tail light assemblies and find the 4th stud.
Once you have the 4 nuts off, pull the assembly out. It might stick a little, but it will come. Just move it back and forth a little.

Next, put the new light next to the old light, connector side up. Transfer the bulbs one at a time to the new light. There are 4 bulbs to transfer. Do them one at at time so just in case your wife walks in and interrupts, you won't mix them up when you are done taking out the trash. (actually I'm pretty sure each bulb socket is different, but it's good practice to transfer anything one piece at a time)
The top of the light has the LED emitter. This is the trickiest part, but it's VERY easy. There is one screw holding on a plastic retainer. Use your torx screwdriver and remove the screw. Next carefully remove the plastic retainer.


Now pull the green board straight up and out. There are two blades holding the board down. These are the electrical connection blades. You might have to pry up a bit to get the board to release.
Once you have the board out, take your old tail light and put it on ebay.
Next, unscrew the LED retaining piece from your new tail light assembly. Mine had a phillips screw holding it in. Carefully plug in the old LED board into the two blades sticking up. You might have to bend the blades down to fit (I did).

Once the board is in place, screw the new LED retainer on. Then you simply plug the new light assembly into your car, install the 4 nuts, and then plug in your electrical connector. Before you put the carpet flap back into position, have your wife jump in the drivers seat and test the lights. Test lights, brakes, reverse, and turn signals. If all is well, you're done!
The last photo was taken in bad light, but you can see that I did indeed finish the upgrade:



