But, you are right on levels. From the 158 horsepower's mouth:
Heating levels for the steering wheel heating
When you switch on the steering wheel heating, the current heating level is constantly displayed in the instrument cluster as a bar display. At the highest heating level, all three bars are filled.
Switching steering wheel heating on and off via the multi-function steering wheel
To switch on steering wheel heating at the highest heating level, press .
To adjust the heating level, press repeatedly.
To switch off steering wheel heating, press repeatedly until the bar display in the instrument cluster display goes out.
Saving the heating level
Switch on the steering wheel heating and set the desired heating level.
To save the current heating level, press and hold for approximately one second.
The heating level is saved and the steering wheel heating is switched off.
To switch the steering wheel heating back on at the most recently saved heating level, press and hold for approximately one second.
Going to try this tomorroow.