Only takes 5 mins to remove the front bumper - no need to remove the wings. Lights are held in by 4 bolts. 7 screws along the top of the bumper, 4 rivets on each side holding the arch liner on, a few 8mm screws on the bottom if they are still there. Just be mindful of your foglight wires and headlight washer hoses (if you have them) as the bumper comes off.
However I though most Z4s came with adjustable headlights for switching between RHD and LHD without having to swap the units? I had my lights out a few months back to fix a water issue and found a small metal bracket attached to both dipped beams that you could flip up or down to change the light pattern? Maybe this is only on xenons?