For at least a couple of track days, I'd try decent brake fluid & bleed, decent pads (Pagid RS29 or Performance Friction). If you're still getting fade after a couple of laps on those then you may need to change your braking technique and/or the calipers - as the single pot ones on the Z4M can only take so much.
I could happily do 20 minute sessions at Oulton Park on standard calipers with uprated fluid & pads (Yellowstuff/Bluestuff at the time as I got an excellent price from EBC for being a marshal...about £100 for a 4-wheel set) - or about 3 laps of the Ring (tyres & fuel were the limiting factor there).
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If you do go down the Porsche Brembo route then:
You'll need brackets, HEL/Goodridge hoses, 12-15mm spacers & longer bolts for the fronts.
You'll need brackets & hoses for the rear and also need to cut away the rear brake shield - which may require a new one if it's not in a good state - and they're a bitch to replace as you have to remove the whole assembly to get behind the handbrake.
You'll also have to work out how to do a brake pad wear sensor, as Brembo sensor won't work with the Z4, and the standard sensor won't fit in the Brembo pads. I just do a regular visual check instead.
New discs may be required too, if they're a few years old and you're going to be putting new parts everywhere else.