This issue pops up every now and then. It is perfectly possible. Not only that, BMW already envisaged you would do this, because if you use the proper pins of the proper block on the back of the head unit, you will all of a sudden have the new option "AUX" when flipping through the menu ...
Proper pinning is described in various posts of last year (you do not unplug the CD changer, though that woudl be possibel, you simply use the pins alreday designed for the AUX).
Good luck! (though as stated before, the biggest issue will be the air vent removal)
The air vent retaining clips are mostly hidden and their operation is impossible to deduce. Once you've done it once though, it only takes 30 sec to remove. You can find instructions and hopefully pictures by searching.