My steering wheel is very worn so am looking to replace it, how easy a job would that be. Do i have to disconnect the air bag?

BIG TIME. unless you enjoy having it explode in your face. volvo doesn't recommend anyone messing with the airbags, so unless it is a direct replacement, i would check with your local laws concerning that modification. you don't want to have to fail your MOT because you replaced your airbag with a smaller unit.

I've got my eye on another V40 Steering wheel in wood and leather.

you need to kill the battery, unbolt and turn the key like you would to start, to release any power in the back up batteries. unhook the wiring for the bags and remove, replace steering wheel, replace with airbag from the wheel you are replacing with. reattach wiring, rehook battery, run for codes to see if all went well. of course this is the shortened $1.99 version of what needs to be done. just remember to unattach the battery and let the internal batteries release their power. good luck and keep your face away from everything until it is finished.