It's not straight forward, so to clarify...
Later E30/E36/E46 3-Ser / E28/E34/E39 5-Ser / E24 6-Ser Etc. Steering-Wheel to E21 + other Classic BMW:
To fit later model steering-wheels with the modern spline to your E21 or other pre-'82 BMW, then you will need a steering 'boss' adapter, which bolts to the steering-column and usually has multiple sets of bolt-holes to accept any after-market steering-wheel. Some may only have holes to fit the brand of steering-wheel that make the hub, such as the MOMO one, here for about £60, but could be easily adapted to fit whatever wheel you have. Getting a universal one is harder, sites like meanmachines.biz claim to have ones here for £25 that fit, but they may need adapting to go on the E21.
Earlier E6 [1602/2002] / E12 5-Ser Steering-Wheel to E21:
Not sure why you want the thin, bendy rim of the older model steering-wheels to noon your E21 around, but they are a straight fit and require no modification to the wheel or dash/trim. The horn contact ring at the back needs modifying to work - refer to step 3 of the guide below.
E21 Steering-Wheel to E6 [1602/2002] and E12 5-Ser:
This is a common mod and it makes sense to upgrade 60s and 70s BMWs with the old-style steering wheels to E21 types - they're newer in design, better to use and safer in an accident. E21 wheels are a straight fit to the spline, but some cutting it required to the dash or back of the wheel to get it to fit. The horn button-contact at the back also needs modification.The definitive guide on tidily retrofitting E21 wheels to 2002 etc. is on the 'Bay Area '02' club site- http://www.bayarea02.com/techtips/320_wheel/index.html
The are highlights taken from the bayarea02 guide:
Spline Fitment:
If you place the 320i 4-spoke steering wheel onto the '02 steering column, you'll find that the bottom portion of the steering wheel interferes with the padding on the steering column by about a 1/4 inch. Grab a sharp utility knife and carefully trim away the bottom of the steering wheel, or install some sort of 1/4-inch thick spacer between the steering wheel and the steering column.
If you choose the spacer approach, you have to make your own spacer, as commercial flat washers are too large. The spacer needs to have an inner diameter of about 5/8 inch and can be no larger than 1 inch. When I installed a 320is steering wheel into my '02, I made the spacer out of a piece of 1/8-inch diameter aluminum rod and bent it into a ring using one of the sockets from my toolbox as a mandrel.
One cautionary note about the use of a spacer: The lock nut might not grip the shaft threads if the spacer is too thick. Losing a steering wheel in mid-apex is BAD!
Horn Buttons:
Take a sharp utility knife, and make a radial cut completely through the brass ring on the 320i steering wheel. Once the ring is split, use pliers to carefully bend up one end of the ring high enough to form a cantilever leaf spring. Then bend the tip of the ring over to form a smooth contact surface for the steering column.
This method works well with the standard 4-spoke 320i steering wheel because there is little, if any, access to the internal wires going to the horn buttons.
The classic BMW parts market is a lucrative one, as I will detail my own exploits in another post. I assumed E30 steering-wheels where fair game for the E21 and at the time I listed mine the going rate for an E30 foam-plastic wheel was £30. I got £50 for my original E21 wheel, but I wonder if I could have got more. Due to the scarcity of E21s, I would estimate the value of the basic 4-spoke steering-wheels at minimum £50. The 3-spoke 'sport' wheel in foam-plastic is even more sought after and should fetch up to £100 in good condition and at least £100 for a leather-bound one. The wheel fitted to me E21 was a period AC Schnitzer 3-spoke leather wheel with a removable centre. The boss-adapter and condition of the wheel led me to believe this had been pulled from an E30, though I've never seen another like it and wish I'd put the original one back on to sell the car.