BMW won't do it for you until the computer says you're ready - which is usually around 15k miles. This is always a topic of debate around here, but some prefer to do their own "in-between" oil changes between free services at the dealer.
Personally, I have faith in BMW's R&D who created these cars. When my car says it needs something, I will take it to the dealer. Unless you're really keeping the car forever (or tracking it regularly), I see no reason to do anything extra.