Thought I'll add these few pictures I took yesterday when I swapped my halogen bulbs to LED. As I personally struggled to find an actual example of what to dremel/drill out to get the bulb out.
The steps for full swap are -;

the bulb is the "push->twist->pull" type so if you do that and pull it up you'll see where you need to dremel the two little notches..
should look like this after -;


You'll then be able to pull the halogen bulb out -;

inside looks like this, for better understanding -;

once you jam your new LED in -;

reverse order to put it back together and you should have -;


A few notes -;
Bulb type - BA9S
Bulbs used in example - http://www.ebay.co.uk/itm/2x-27-SMD-LED-233-BA9S-T4W-CANBUS-NO-ERROR-XENON-WHITE-SIDE-LIGHT-BULBS-LAMPS/152564163789?ssPageName=STRK%3AMEBIDX%3AIT&_trksid=p2057872.m2749.l2649
Bulb error - Is there, you will need to code it out with Carly or any other BMW codding software..
Colour - These look blue but they're simply "pure white"
Hope someone finds this useful!
Buckz
The steps for full swap are -;
- Jack front of the car
- remove both front wheels
- remove the cover from the undertray(two plastic holders that hold it in place)
- remove the backing from the headlight(metal clip holding it)
- unclip the cable connector
- loosen the torx screws a little(you don't have to but plastic is usually old and might snap so I did loosen them)
- twist the whole housing to the side(torch in there to see which side is open/close)
- pull it out and then you'll have the below:

the bulb is the "push->twist->pull" type so if you do that and pull it up you'll see where you need to dremel the two little notches..
should look like this after -;


You'll then be able to pull the halogen bulb out -;

inside looks like this, for better understanding -;

once you jam your new LED in -;

reverse order to put it back together and you should have -;


A few notes -;
Bulb type - BA9S
Bulbs used in example - http://www.ebay.co.uk/itm/2x-27-SMD-LED-233-BA9S-T4W-CANBUS-NO-ERROR-XENON-WHITE-SIDE-LIGHT-BULBS-LAMPS/152564163789?ssPageName=STRK%3AMEBIDX%3AIT&_trksid=p2057872.m2749.l2649
Bulb error - Is there, you will need to code it out with Carly or any other BMW codding software..
Colour - These look blue but they're simply "pure white"
Hope someone finds this useful!
Buckz