Let me start by saying that (1) this really should take you only 30 minutes; (2) to make clear, you do NOT have to take the steering wheel off unless you need to replace the wiring harness as well as the switches; and (3) if you haven't done this type of thing before, read on to learn how NOT to turn a 30 minute project into a 12 hour one. The good news is that we made every mistake we could, and we still got it all back together and working . . . it just took a while.
First, the new switches come with the wiring harness attached. You have to take them off so that you can do the easy replace. I strongly suggest doing this before you start working on removing the ones in the car -- it's much easier to see what you are doing and then you know what you're trying to do with the ones that you can't see as well.
Note that it's pretty easy to screw up a connector in pulling it out of the switch. As one of the other posters noted, they seem impossible to get apart and my husband was convinced that we'd gotten a new design of the part that would not come apart. You need to work slowly and carefully, giving a steady pull and not a jerk. We found that my smaller hands were better suited to this than my husband's -- I've also done more mucking around with computer connections than my husband and am more familiar with this type of a connector. It took about a minute per connector to get apart, just slowly working it loose.
Second, it's very easy to reconnect the wires upside down. They snap right in, just like it's put together correctly. This is a MAJOR flaw in the design of the part. The plastic ridges on the connector go up (that is, towards the driver) and the single wire that goes to the horn goes towards the top of the steering wheel. This is true on both the left and right switches.
If you get a connector upside down, the exact symptoms will vary depending on which connector is wrong. Your first clue may be the horn honking constantly when you reconnect the battery (MNGohper said this was particularly startling in a closed garage!). For us, the green "Speed Cont" light on the dash began flashing when we turned the car on, and the "OFF" button on the switch honked the horn. Needless to say, the cruise control does not work.
Third, this is one of the projects where a digital camera can come in very handy. I HIGHLY recommend that you take digital photos at every step of this repair. Every time you're about to pull a connector off or take a screw out, take a photo first. You may not need them all, but we would have killed for a few good photos -- the photos above from aldive were all we had and while really helpful, we needed a few more.
Fourth, if you're like us and screw up a connector on the wiring harness and then end up having to take the wheel off to run the new one, be sure to take photos of how the cables are run around the wheel. And note that when you put it all back together, you have to make sure that no cables are pinched.
You'll also have to remove the right horn sensor within the wheel as the wire runs between it and the wheel itself. It's pretty self-evident. Not realizing that we only needed one off, we took both off and then wondered if there was a difference between the left and right. Not that we could tell, and this was not the cause of our problems.
If you have to take the wheel off, note that the wheel puller for the Explorer is not the standard one. We borrowed a wheel puller from AutoZone (what an awesome service -- $20 deposit refunded when you bring it back) and had to jerry-rig it to work on this wheel (if forced to do it this way -- all other stores in a small town closed for the weekend -- you can do it with a couple of big wing nuts to serve as claws to go under the "pull" areas of the wheel).
Finally, if you're like my husband and want to test the installation before putting the air bag back in place, you can. It should work perfectly without the air bag module (you'll see a yellow air bag icon on the dash, though). When we had the connector wrong, we wondered if our problems were because of the air bag not being in place. That was not the problem.
Don't let this info scare you off doing the project. It would have been a quick and easy job if we'd paid attention to these things in the first place. If you routinely do a lot of work on your car's electrical system, you may not need this info, but it's the first time we've tried something like this. We needed more detailed instructions! Many thanks to those who helped us figure out what our problem was -- that's why I'm posting here, to pay the help forward.