Been doing some looking and find nothing on NHTSA ... I do find questions about a smoking headlight switch on benz world & slk world ... it looks like the problem has been there in the past although they also state they were having trouble with the headlights before hand...
I agree that a step by step fix/repair would be very nice

below is from one of my searches ...
A faulty headlight switch in a 2005 SLK320, particularly if it's causing flickering lights, burning smells, or the switch feels hot, can be a potential fire hazard and should be addressed immediately by turning off the power at the circuit breaker and consulting a professional.