Actually, you left out a step. I used your original instructions today when I got my new 330 and what you forgot is that you don't do the FIND ME first.
You have to go and do the FIND OTHER DEVICES first (which is in a different location than the Menu you use for the FIND ME). The phone will find the BMW (with a series of numbers).
Then, when it finds the BMW, THEN you do the FIND ME and the rest of your instructions are correct.