I wrote a little guide here: http://www.z4-forum.com/forum/viewtopic.php?f=15&t=27367#p377369
Text only but should be easy to follow. I do 400 miles each week, and for the past 6 months I just use water to wash the tailpipes, no soot sticks to them once you've got it cleaned properly...
It's basically, clean, wet sand with various grades, polish with autosol done. You can also cheat with a dremel, this is assuming you have years of ingrained dirt and surface pitting