I just did this on my '03 Wagon. Ford part numbers for the plastic tubes/guides:
One each needed per headrest.
After taking the seat out and apart like originally decribed, I realized that it's more easily done inside the car without any dissasembly at all! The holes are already in the foam pad. Feel around and you can make a depression in the upholstery cover where the guide tube will go because the foam padding is already cut out. I inserted a straight pick into where I thought was center, then moved it around a bit to feel the seat frame and how close my estimate was. Out of 4 holes I made (didn't want a center headrest), I was only 1-3mm off center with each initial probe. Enlarge the upholstery oppening little by little until you can get the guides tubes to fit - press down to snap into place! Looks factory.