I've just gone through this retrofit. My main goal was to install cruise control, but the MF controls were a big bonus.
The SE (non-Sport) steering wheel has a different airbag. Only the Sport and MSport wheels use the same airbag.
Getting the wheel off is described in this excellent guide (to fitting a performance wheel). I presume removing the SE wheel is similar to the Sport wheel.
Alternatively, as suggested above phone a dealer, give them your chassis number and ask them to quote you for a MFSW retrofit. If they specify the airbag, wheel, cover and buttons then that's all you need and you should be able to fit them yourself. These parts come up on eBay regularly - look out for an E87 or E90 wheel. BMW prices are as follows:
Steering wheel with bolts and wiring £242 (Leather M-Tec with dappled sides)
Steering wheel cover £62.95
Multi function buttons £59.95
Bolts x 2 £1.40
If they start talking about a replacement slip ring / coil spring and reprogramming, then it's going to get expensive. Frankly, I'd be surprised if the connections are there but you never know.
My car didn't have the connections so I had to replace the slip ring. The good news is that this part is only about £35 from BMW. The bad news is that the reprogramming will cost in labour time. You'll need to factor in 2-3 hours work which is expensive at £100 odd an hour plus VAT. Because I was getting cruise as well I didn't mind spending the money, but it's still a costly exercise.
Good luck!