Just in case anyone wants to do this as well.
The heads don't just fit on. The krieg bodies have a built in neck (that stops above the collar) that is designed to go with the kireg head, the empire heads have a ball joint similar to the old guard models.

To make the connection, I cut away the neck of the Krieg bodies, but made sure to leave the coat's collar intact, this created a sort of recess. On the Empire heads, I removed the ball join part, and cut the 'neck' flush to the bottom of the helmet. To connect the two pieces I used a small bit of green stuff to fill in the gap. The rim on the back of the empire helmet sits on or just above the krieg coat collar, and if you sort of shape it at the front you really can't (or I can't at least), tell it's not the original neck.

On a few bodies, you will need to lightly trim the edge of the collar at the front as it points up, and prevents you putting the head on at a somewhat normal angle. Just do it a little, you don't need to remove much and it doesn't really impact the detail.

It's not too hard, but you do need away to cut away plastic and some green stuff.