Simply put you aren't going to be running FTD or anything in a 335i but it can be a fairly capable car. Taking out weight is a great way to improve the performance but its really not worth the diminishing returns of spending all the cash on CF up to a certain point. You'll end up ruining your daily driver the more you change it.
-Lightweight rims (SSRs, Koseis or Apex)
-Rip the backseats out for autox (takes 20min), reinstall as necessary
-Lightweight seats are great
Stop there... improve the nut behind the wheel. If you like it enough... buy a 2nd car and build it to your driving style. Get rides with others, see what you like, see what drivers are doing differently. Ask them to drive your car... you'll find out what you need to work on.
Another thing no one has really mentioned is to check your alignment settings. You need to have some pretty serious camber to compete in an autox. For my E36 I try to spec it out to -3F/-2.5R.
1997 M3 Coupe - BMWCCA I-Prepared #22
2006 M Roadster - 23,000 miles and slowly counting