Done this weekend (and last) to my August 2007 2.5i SE.
Lessons to pass on:
1) Read this thread

2) I ran the cable one weekend, and then did the plugging in the next. Purely personal preference

3) You need to run the blue cable into the smaller black electrics box just forward of the main electrics box under the bonnet. Some threads say you plug in in the main electrics box. I didn't. Take your time when feeding the cable through the trunking. I found taking the trunking out of its rubber 'boots' made life a whole lot easier.
4) Don't use the blue repair cable OR the black repair cable. Plug the blue cable straight into the mythical plug 39 in the DME box. Some instructions (German ones - see point 10) say use the black one on N52 engines, while some say use the blue one on N52 engines. Just don't use either

5) When you get the fat cable out from behind the headlight/fog light switch, cut the top-most cable tie, remove the steering column cowl (if not already off) and feed it down through there. I found the cable wasn't long enough to work with poking out of the headlight/fog light hole
6) The brown and blue pin blocks come out of the X12 cable plug thing. At first look I didn't realise this and took a while scratching my head

7) When you cut the yellow/violet cable, don't cut it too close to the plug, or it will be a pain in the arse to get back into the X12 cable plug thingy.
8 ) Some plastic trim removal tools make the job a lot friendlier...as does copious amounts of tea.
9) When I took the aluminium trim off around the headlight/foglight switch, the clamps (part # 07147073406) - number 4 on
here leapt off and ran away behind the dashboard. I can't find them. Hopefully they won't be an irritating rattle from now on...
10) German instructions which confirm that it is pin 39 are
here
Hopefully this will help someone one day

Current ... 2007 Z4 Coupe 3.0si Sport | Manual | Alpine White | Black leather | Piano black dash
Intro to Zeds, now sold... 2007 Z4 2.5i SE Roadster | Manual | Stratus Grey | Red Leather | CDV delete | DLV backbox