The first month I had my car I took it quite easy, and drove it as if it had no traction/braking aids, and didn't rev above 6000rpm.
The second month I took it to North Wales for a couple of days so that I could go a bit faster in relative safety (to others, not to myself).
The third month I did two track days and will be doing some driver development days later in the year. I was planning on doing BMW driver training at the 'Ring, but lack of work has put a spanner into that plan.
I have also realised over those 3 months that the all-conquering CSL wheels are not the best
for me for handling & grip, and I prefer the ride with 18" wheels - although I might go up in tyre width when I need new tyres. I also like the bit more progression on the limit that the 18s give me. I have also driving the car with the DSC off on the road and found the throttle is much more on/off than my old M5s and the back end steps out much quicker than the M5 too
I've done about 100 track days over the years in my Polo G40, Corrado VR6, 1994 M5, 1990 M5 and now the Z4MC and I've only every been off twice (in the 1994 M5) and the first time was just into the kitty litter with no damage caused, the second time was into a small plastic cone which caused the breakage of one foglight and the disintegration of my engine undertray. The second incident would have gone without damage had the organiser not decided to bolt the cones to the floor though.
I only every get insurance when it's either 1) a track/circuit new to me, 2) a new car, 3) a magazine track day, 4) a new organiser.
In this case #2 came into play, I got insurance for my first track day last month and for an open pitlane day it cost £150 for £12k of cover. The second day I did about 10 days later was much faster even though I didn't have insurance, as I'd become more confident (not overly confident though) in the car and my knowledge of the track.
The issue with track days and insurance is not necessarily how much damage you're going to cause in an accident, but rather how much damage someone else can cause to your car in an accident.