It is possible afterall 1000s of Saxos have managed it but you usually need to get a new subframe and that might not fit the holes in your floor.
The easier option is to ring Dronsfields or Mercman and get a proper set of MB W202 seats which will just bolt in. Given what the Cobra seats cost you could get MB sports seats or maybe a complete leather interior.
AFAIK, the sportiest seats available for the pre-facelift W202 were fitted to the C36 AMG, after facelift all sports seats were those and the C43 AMG got even "sportier" seats with more bolstering and comfort options.