Depends on your definition of expensive. It also depends on whether you want to use new parts or used parts. I know someone who picked up a set of used Laramie seats for around $1000 off ebay. I imagine that new seats would be more than double that. A steering wheel will run at least $200 on ebay. Again, at least double that for new, depending on which wheel you want. Then you have control modules, wiring harnesses, and clock spring. I'm sure I probably overlooked something. It would also require a trip to the dealership to enable it all. Sounds expensive to me LOL
I know how you feel though. I used to laugh at people who talked about a heated steering wheel. Right up until I rented a car with one in winter. Ever since then I won't buy a car without one LOL. I could take or leave heated seats, but I gotta have a heated steering wheel.