I just changed my fuel filter in my 01 S500 with 66kmi as part of the Service B which i did myself. Here is what i learned.
The S500 is very easy (so far) for a DIY to do maintenance unlike my E46 M3. I changed the oil and filter yesterday (used gravity feed and one of the easiest oil change ever).
Although the car had impeccable maintenance records, the fuel looked original and was never changed before. It wasn't the easiest thing to do but i certainly would not dread doing it again.

Here is the step to follow (at your own ..legalese required)
I did not even need to jack up the car. i just parked the rear tire on a long 2x12.
1. Remove the T relay from underneath the rear seat
2. Crank the car until it dies quickly to remove pressure from the fuel filter
3. I used a cardboard to slide underneath. once there, the fuel is located next to the fuel pump. Both a within their own plastic box right before the rear driver side tire. To remove the cover, i just unscrewed the 3 plastic bolts holding it and loosen two other screw for more wiggle room.
4. Cut off the factory clamps. Start removing the 4 hoses connected to the original FF. Some gas will drip during this step. If you were smoking before, now would be a good time to stop.
5. Connect new FF Don't forget to new clamps.
6. Replace FF relay
7. turn key to position 2 but do not start engine. While fuel pressure is building, go back to check for leaks.
8. Put everything back together
9. Start car and you're done

Did that and the car is running, no purring is more like it. No codes whatsoever.[/align]