Hey AreVee,
FWD shifts the weight over the front wheels providing better traction. The downside is that you have less ability to snap a FWD car out of a skid. I used to own a Nissan 280ZX and put a 50lb bag of sand in the back to add weight over the rear wheels for traction. You probably won't have to go that far with the SLK.
The guys here are right: Buy a set of 4 snow tires (NOT 2), put them on an extra set of rims, and simply mount/dismount them in fall and spring. Check out TireRack for some great deals on 4 tires. They'll even offer them on rims. My personal experience is that the Bridgestone Blizzaks are great for driving in snow and ice.
My MB dealer will mount and dismount a set of snowtires in the fall/spring for $95. Find a dealer near you and see what they offer in the fall. NEVER take your car to National Tire and Battery; they attempted to lift my Acura NOT on the lift points and I ended up with buckled floor pans.
Also, drive slower, even with the snow tires on, keeping more than the usual distance between you and the next guy as it takes a longer distance to stop. Less chance of sliding into his backside, less likely you'll skid out of control.
One last bit of advice, in winter, when it's above 40F, not snowing and sunny, do yourself the personal pleasure: Clear the snow/ice off, put the top down, turn the heat WAY up and enjoy the ride. While everyone else is huddled in their camrys, it always puts a smile on my face!
Rule of Thumb for RWD cars: When you car goes into a skid, turn the wheel in the direction you are skidding to regain control. Try it on a snowy day in a big, empty parking lot with the traction control on the SLK turned off.