Im in the same boat mate, just got my 2007 e91 on sat, chopped in my b6 audi avant, but the headlight thing is doing my head in.
I also have the bog standard boring yellow halogen lights, and ive done some serious research to see whats the best way to go to get some modern looking headlights. My car looks the nuts in every way except the headlights.
Can't believe there is this many options headlights wise, and def cant work out which is the best route to go.
In my audi I just bought a good quality aftermarket HID kit, fitted and had the lights aligned properly. Sounds like this isnt an option with the beemer??