Here's a quick rundown of how I did the headrests. Please let me know if anything needs to be clarified.
Please note: This was the way that I did the seat. There is a post on the web that details this out in another way which is just as good.
http://volvoamazonpictures.se/guides/Headrests%20in%20Volvo%20Amazon.pdfI have heard that most seats from 67 on, will have the metal framing on the backrest to facilitate this process. You can quickly check by pressing into the back of the seat and feeling for the horizontal bar across the upper third of the seat. If you can feel this, you should be good to go.
Please have your headrests available at the time of assembly. They will help you line up the mounting kit to the seat.
Remove the backrest (vertical seat back) from the seat frame. 4 Philips head bolts on the seat mounts
Remove hog rings from the sides of the backrest. I used a couple of needlenose pliers to twist them out. It is easy to damage the seat cover, so be careful.
Remove the lower upholstery from the seatback.
Remove the entire vinyl seat cover from frame.
You should be able to see the horizontal bar across the back of the seat frame.

Note the metal holes at the top of the seat frame - this is where the large plastic piece from the kit gets mounted, and the metal pipe goes through. If you don't have these, then some fabrication needs to take place.

I have found that the order of assembly is important. There are some modifications that need to take place that might impact the assembly later on.
Work on this once piece at a time.
There is a large threaded plastic piece in the kit. The metal pipe and this piece fit together. There are notches in the pipe, and the plastic. Sleeve the two together so the notches line up at the top.
Once these 2 pieces are together, make a notch in the foam above the mounting hole in the top of the seat frame. This will allow the pipe to go through the foam.
Test fit the plastic nut onto the plastic piece. Make sure it can screw on without binding. If you don't get the plastic piece and the pipe correctly aligned, it will distort the circumference of the threads and it will be near impossible to thread that nut on to clamp the upholstery between the nut and piece afterwards.
Once both plastic pieces are fitted, test fit your headrest to them outside of the seatback. Do they slide through without binding? Adjust as needed.
Once that is done, slide the whole works down through the top of the seat through the mounting holes in the top of the frame, sending the steel notches down to the cross piece of the seat frame. Before the plastic piece clicks into place at the top of the seat, you may have to widen the pipe notches a bit where they contact the crossbar. At least, I had to do it for mine. There was no way that the pipe notches were going to easily fit around the lower crossbar. And I wasn't going to smash (too much, anyways) the top of the pipe to force it down onto the crossbar. That would affect the fit of the plastic nut mentioned above. Use your headrest to line up both pipes onto the crossbar and ensure that they go in straight and don't bind up. Mark where they will contact, pull the headrest out, and widen the pipes if required.

Slide the pipes down through the mounting holes and have them click in at the top. Insert the headrest to make sure it doesn't bind, and bend those widened tabs around the crossbar. The pipes are now mounted. The upholstery is next. Remove the headrest.
Refit the vinyl back around the seat. Make sure it is as close as possible to the screw holes, hog ring holes, etc as before. You will then see the plastic pieces pushing against the upholstery.
I took a blade and carefully cut across the top of each piece, then trimmed around it. Go slowly and with intent to make sure the knife doesn't slip. I used a star pattern cut from the outside to the inside in case the knife slipped. This was easily the most nerve wracking part of the process. Trim the excess off.

Once both holes are trimmed out, place the large washer, rough face down, onto the plastic piece. Secure it with the small nut that you tested with earlier. Hopefully the nut goes on smooth. Once both nuts are on, the upholstery is secured to the seat once more. It should look like a clean install at this point.

Here is a pic of how the whole upper plastic pieces go together.

Now the other fun part... securing the vinyl seatback cover. Install the hog rings as best as you can to secure the vinyl back to the seat.
Once that is done, the headrest can be actually mounted. You will have a few pieces left over... a conical small round part, and a large nut. The large nut goes onto each headrest spike first, then conical washer goes small-side up over the headrest spike. The conical washer may have to be "split" a bit to get it around the spike. There was a mold part in mine, so it easily fit over top. Insert the headrest into the seat to the desired height, and using the large nut, screw it down onto the plastic threaded piece that resides in the seat. That will tighten it up. Your headrests are now installed.
Reinstall the seatback into the car and enjoy what should be a safer drive.