I've been thinking about doing this as well. The bulbs I've seen are on ebay here: http://cgi.ebay.co.uk/BMW-Z4-LED-Number-Licence-Plate-light-XENON-HID_W0QQitemZ320459084188QQcmdZViewItemQQptZUK_CarsParts_Vehicles_CarParts_SM?hash=item4a9cd9919c
It looks as simple as just swapping the bulbs over. I've never actually seen a car with them fitted but I guess it would look quite sleek.