wot you can get done is find a picture of exactly wot you want, they scan it into the computer and the machine embroiders it exactly the same as the picture. Very clever seen it done but not sure how much it would cost - would have to take headrest to bits first.
I'm pretty sure my 156 with veloce sports pack had these on the fabric seats - and my current 147 with sports leather has them so it might be worth pricing them from your local dealer's part's department.
I certainly wouldn't try to get it done retrofit to your current headrests.
Yeah - the stitching looks great! I guess it depends on what type of seats you have (leather, velour, cloth etc...) as there may be some complete headrests with the stitching available as spares/aftermarket that you could swap with yours which might be easier and less expensive. I've only ever seen the logo stitched on leather. If your existing seat fabric and style are are not available with the stitching on any model then i guess there are a few companies that say they can stitch (Footballers have a craze of getting their initials done apparently ) any logo onto the fabric but I would imagine it's expensive and if they need to take the fabric off the headrest to stitch, i'd want to know it would look just as good at the end and not "slack" if you see what I mean.
I get embroidery done now and again and generally the artwork will cost approximately £65 with an additional £5 for every logo embroidered. But in my experience getting embroidery done on headrests is not always a good idea as once the stitching is marked (due to grecian 2000 or Brilcream etc.) it becomes impossible to clean. The best option would be to get the work done on the upper insert on the seat squab and as the leather seats have piping around the periphery instead of twin needling stitch detail it is an easy operation to strip and re-assemble the seats.