This is a much traveled topic, using the search function for euro headlights will get you eveything you are looking for, (but since I'm a noob myself, I'll give you the nickel tour). I just finished making the conversion on my 92 300CE and it went rather smoothly because I had researched everything and had all the correct parts before I started.
Depending on how much of a purist you are and want to keep your 400E, (OEM Parts or not), there are a few ways to go. I wanted to keep Boshe or Heller units, but there are aftermarket units that look similar and are readily available. The factory Euro parts are expensive, but I was lucky to find a new/slightly used Boshe pair right from this forum. They fit perfectly and will allow for future installation of the euro style wipers if I ever decide to do that.
I decided against the wipers at all because I don't intend to drive my beautiful CE in weather where they might ever be used. I can't think of any road condition they would be useful for except wet salty roads, and my 92 CE had never seen a salty road before now and never will, hence wipers are usless anyway. Besides that, I think they are ugly anyway, so for me no wipers and while the headlights were being swapped out I also swapped in a new set of filler plates that go below the headlights.
The filler plates come in 3 basic styles for all w124's 86 thru 93;
1. Blank plate with no holes at all, for W124's that had no wipers, (optiontional & not purchased).
2. Standard American style with holes for American wiper system- god are they ugly, (personal point of view, but I'm sure some out there that thinks they are nice)
3. Euro Style filler plates to match the Euro headlight and wipers - much nicer and I would have gone this way myself if I could have found euro wipers cheaper than they are.
Another option I've read here on the forum is to install the american wipers on the euro headlights, but to do this you obviously need to buy the Euro filler plate that has the holes moved to match the new mounting location for the wiper shaft.
There is an internet retailer "Katman" that has everything for option #1
Katmac Imports: W124 (86-93 300E 400E) European Headlamps
His headlights are not oem, but they are affordable and he also gives you everything you need to wire them up, including the new euro wire plugs, with directions for converting from the 4 pin to the 6 pin. I didn't go this way, as I found the same info here in the forums, but you simply remove the color coded wires and pins from the square plugs and transfer them into the correct holes of the 6 pin plugs which you still need to buy. I got my 6 pin plugs off ebay, $6 plus shipping, oem parts, worked perfectly.
When you change over to the euro style headlights, unless you reuse the old filler plate with the holes in the wrong spot, your going to have to buy either the blank plate, or the euro plate. Either way, when you get them, they need to be painted to match your car color. Sounds hard if you've not done spray painting before, but it's very easy, you just need patience and you will need to buy spray cans to match your color. Any auto paint supply shop can get this for you, but I just went on line and bought over the internet using the factory paint code, you buy the base color and a clear finish that needs to be rubbed out for final shine. I think the paint cost me under $50 delivered to my door and I spent one weekend applying many many thin coats and it came out perfect, you would have a very hard time noticing any difference, particularly under the headlights.
I bought my spay cans here,
PaintScratch Touch-Up Paint (rs), Spray Cans, Spray Paint, Paint Pens, Car Paint, Automotive Paint you just need to find the factory paint code, it's printed on a sticker by your radiator for one..
So, here's the deal,
1. Do your research and homework first before you start the project, most important.
2. Decide what the finished product should look like for your tastes, Factory looking euro headlights or other projector types, wipers or no wipers.
3. Purchase all parts ahead of time, particularly the new filler plates and paint, as they should be ready to install before you do anything else.
Also you made a reference to a vacuum operated beams, the beams on euro lights are adjustable up and down by this system, but that's another whole story that's not needed now for anything, for you it sounds like you have OEM euro lights, the good ones, just buy the 6 pin connectors and new blank filler plates for now and install them. I bet you will not miss the wipers at all, looks much cleaner without them.
Just search this forum and you will find many other eferences to euro headlights and how too, your close, almost there...good luck
ps: if you haven't tried to install them yet you will find 3 screws that basically hold the head light in place, 2 on the outside & one on the inside. The outside ones are easy to see and remove, the inside ones on the other hand are a bear, drivers side you can remove the fresh air intake tube, (easy to do) and get clearance to the inside screw, but the passenger side you need to be very patient getting that one out and back in, nothing to remove to help, and you can hardly get your fingers in there to work. I ended up with a small 8mm open wench and a pair of needlenose pliers. that was the only truely hard pard, everything else came apart and went back together very easily.
Here are two pictures, the first I took right out of this forum to show a daylight full view of the look without wipers, and the 2nd is my 300ce install taken in a dark garage.. notice the filler plates below the euro headlights have no holes and are painted to match the car.
Here is a link to a PDF that should help, I used it for my install, worked perfect.
http://www.w-124.info/w124/W124HeadLight.pdf
and here is an eBay link to the 6 pin connectors you need, same place I got mine
eBay Motors: Mercedes Euro Headlight Plugs W123 W124 W201 W126 300D (item 250331841587 end time Dec-01-08 22:08:13 PST)
Also, if just do a "W124 euro headlight" search on eBay, you'll get a page of items that are worth looking at, it will give you an idea of whats out there to buy for your 400E.
I see that Katman is out of stock of the blank filler plates right now, they are simply a part you can order at any M/B dealer anyway, probably $12 a piece or so.
If you haven't seen this anywhere else, 94-95 W124 american style wiper motors, arms and blades would work with your setup, same as the euro wipers 86-93 will. Assuming you wanted to spend another $400 plus... (the blank filler plates made sence to me when I saw the prices for the euro wiper motors).
I also had another visual aid that described the left side - right side headlight wiring better, but you really dont need it, one side is solid color wires, and the other is stiped, instead of solid yellow, the other side may be yellow with a black stripe, you get the idea I hope... also you will see a reference in places about a "City Light", which is a euro version of the american parking light. It's a small bulb in the headlight lense assembly that needs to be wired if you use it. I haven't done mine yet, but I will, it needs to add a new pin and wire into the empty #5 pin position in the new connector I think, and this wire is spliced into the parking light wire from the corner lights. When I do make this change on mine, I'm going to disconnect the wires going to the existing parking lights and reroute it to the new city lights. That way the cornor light will only function as a blinker. But like the vacuum beam aimer, this isn't needed at all at this time, add it later on if you want. One last comment about the beam aimer, it requires a new light switch inside the car, it has a dial connected to vacuum line which allows you to aim the light up or down in case you get a heavy load in the back seat etc.. sounds like more overkill to me.. I'm never going to hook it up.
Good luck...