I've done a bunch of times, but in a professional setting. It's tricky. Air bags not installed in cars are classified as explosives, and they can kill if not restrained properly (ie: not mounted to the steering column firmly.)
And even if you manage to get everything right, you'll still have an "air bag" warning light on the dash that a shop or dealer will need to extinguish for you--most won't self cancel.
The battery cables have to come off. I've been told that you should wait 30 minutes before messing with the connectors, too. Air bag connectors are bright orange or yellow and have a complicated latch mechanism so the positive and negative come off in a specific order. You have to un-bolt the horn pad/air bag from behind the spokes of the steering wheel to tip it forward and get access to this connector and remove the bag. The bolts are usually a torx head, which prevent most shade-tree mechanics from messing with it. Don't let anyone mess with the connectors on the airbag. The battery cables absolutely have to be disconnected. No static electricity of any kind can be tolerated.
And then there is the clock spring. This device allows an electrical connection to be maintained while the steering wheel turns 3 or 4 turns lock-to-lock. You don't want to mess this up or pull it apart--you'll never get it wound-up right again. This is a real possibility as you transfer it to the new wheel.
Unless you are experienced and know how to deal with harardous electrical components like this, I advice taking the steering wheel somewhere and have a professional do it. This isn't an advisable DIY job. An experienced mechanic can do it in less than half an hour.