Here are some links to forum pages that I gleaned information from;
http://www.bimmerforums.com/forum/showthread.php?1896932-DIY-Sticky-Clunky-Steering-Fix/
http://www.z4-forum.com/forum/viewtopic.php?f=3&t=50994&start=90
http://www.pistonheads.com/gassing/topic.asp?h=0&f=72&t=1411724&i=0
I was quite thorough reading up on it to find out which lubricant would be best for the job.
In the end I went for the Wurth HHS 2000. It was only £10.00 of eBay for a decent sized can.
http://www.ebay.co.uk/itm/252042958515
TBH I can't remember the reason that product was my final choice (I made a short list of 5 or 6) but at the time I thought it was the best overall option. :?
Ultimately there's a large plastic cog and worm wheel that you need to get lubricant to. When they get warm they expand and cause the notchy feeling through the steering wheel. The lubricant relieves this.
The casing that holds the large cog is soft metal and easy to drill into to enable a lubricant to be inserted and drench the cog - thus eliminating the friction with the worm wheel.
Some guys mounted a threaded grease nipple onto the steering column to pump in grease, but I opted to do what others had done and drill a hole (which is just left open) and spray a decent amount of lubricant in. The hole sits above when the lubricating oil drips down to so nothing leaks out of the hole.
I did cut the plastic pipe that the lubricant exits the can from at 45 degrees at the end that buts up against the hole you've drilled to enable the lubricant to be fired into the hole a bit better - it was a bit messy spraying the stuff into the casing with drips going everywhere so cover your floor mat!
The photos in those threads will give you a better idea of where to drill than I can explain here.
Spend an hour or so reading up on it and looking under your dash and it'll soon become clear - I'm a bit fik and I managed it!
With a sharp drill bit its a straight forward job. The issue went away for me immediately so I can only assume it was successful and I've had no issues at all as a result of using the Wurth product.
Sorry the above is all a bit long winded! :roll:
Good luck.