neilthomas, the good news is, if you search hard enough, or failing that ask nice enough, there is plenty advice on here to help.
Steering wheel - take apart and have a look. Guides on here
Airbag light can be re-set
No idea about headlights - weird...
You only have one fog light - driver's side - the other is part of the brake force lighting (they both light in addition to the brake lights when you brake really hard). Have you checked the bulb ? You need to take the light unit out to change the bulb... Not sure about the dash light
Parking sensors may not be wired up, which leads me to...
Do you know whether it started life as a 3.0i or a 3.0Si ? The pre-2006 cars have different rear lights, and possibly a different wiring loom, which may have foxed the previous owner when he upgraded. May affect lights and steering wheel. Also, the body shop that did the conversion may Simply not have plugged the PDC in, or it may not originally have been specd with it and he didn't care
I could be talking crap about the loom - but people like ranski know loads about this sort of thing