I also have a 3.0i SE with sports pack and a full list of options and have just fitted Bilstein B8's all round as a straight replacement for my original M sport Sachs.(£460 delivered from Germany). I felt that whilst off it was important to change the top mounts, Meyle rears at approx £15 a pair and fronts at £30 (Germany again) make it a no brainer. I Did a lot of research and it appears that many users who go for adjustable coilovers play around with settings for a while then get fed up and never bother again. I am sure its different for regular track day users who would benefit from being able to dial in a track setting or serious road users who are willing to spend time adjusting and experimenting until they have the perfect set up for their needs. The B8's are definitely a little stiffer than the stock M sport but not harsh. The handling is more precise and controlled but difficult to say if the original Sachs, having covered 72,000 miles, were badly worn or not(they still had damping abilities). They were obviously not in the best of condition. Although very happy with the B8's since I fitted them 2 weeks ago, It is always in the back of my mind that some adjustment may have allowed me to gain an even better setting. I see that you have H&R springs and running 19" wheels so would imagine that you may benefit from coilovers and the ability to experiment until you find the perfect setting. All posts I have read on the forum from members who had changed to coilovers speak very favourably about them.
As a possible alternative, During my search I read a lot about the Koni sports shocks which are also adjustable and similar in price to the Bilsteins (although many would say not as good). The Koni specification states that they are fine for a lowered spring setup down to (from memory) 30-40mm but then they are not recommended for a Z4 with M sport or otherwise lowered suspension. I was unable to find anything anywhere to explain these two opposing statements.