Like others have said you risk ruining your MAF sensor and then benefits are not sufficient to outway the disadvantages. I fitted one a while ago on my Gen 2 Mini (which doesn't have a MAF sensor). It gave a more throaty sound (but you are unlikely to hear that on a Z4), fuel consumption got marginally worse (but not enough to have any significance) , performance was not changed, insurance went up.
I find cleaning them a pain. The construction appears to be cloth particles held between two fine metal gauzes. They mustn't be blown with an air line and you have to be a little careful washing them so as not to wash away any of the particles. They mustn't be over and under oiled either and oiling them with the K&N kit is not an exact science (squeeze oil out of plastic bottle onto the vanes and look for an even pink colour distribution). They are unlikely to filter out crap anywhere near as good as a decent paper filter.
I wouldn't bother with my Z4. But then again, some love them and swear by them.