There doesn't seem to be a comprehensive guide for this online and therefore it's something of a 'see what you find' job until now (for me anyway). This guide shows the process for fitting a pair of Cree 20w LED bulbs in place of your current yellow halogen ones. I did this on a 2006 E91 with xenons. The process should be the same for the E90/1/2/3 with xenon headlights, and might even be the same for non-xenon cars, but you'll have to figure that out for yourself. The effect is this:
Nearside factory fit, offside Cree LEDs.
In case you're unsure if this guide is for your car, your existing halo bulb housing should look like this:
First, jack the car up and remove your front wheels (one at a time or both, whichever you have the ability to do). This reveals the front arch liner (excuse the dirt):
Remove it to reveal this:
Pop the back off the main light housing, and that for the halo bulbs just below. Try not to snap any clips, curse liberally:
Pop the connectors from the back of the halo bulb housing and unscrew the torx bolt from either side, remove the housing:
You can now see the focussing lens that the halogen units need. You don't want that, so remove it and replace the black plastic mounting piece which retains the ends of the halo rings:
You now need to do some bolt cutting. The Cree units have a thinner housing than the original ones. Therefore if you use the bolts 'as is' they bottom out in the hole and you don't tighten the Cree housing against the lamp housing. This photo hopefully illustrates what I mean. You want to take off probably 10mm from each bolt:
Lidl knock off Dremel to the rescue:
You've now got to get the gubbins attached to the back of the Cree units into the sealed part of the headlight housing. In short (and this will make sense when you do it); fish the existing two wires into the main light housing above, and then also place the two metal cylinder type arrangements into that same cavity, connecting the cables appropriately. Then 'reverse fish' the plug which attaches to the back of the Cree housing back down into the area where the halo bulb is mounted (ringed in red):
Then you're basically there. Tuck the cables and metal cylinders for the Cree unit into the housing neatly and securely. Position and bolt the Cree housing itself into the unit:
Snap all the covers back on and replace the arch liner and wheel.
Repeat on the other side (the same except harder/easier depending on if you're right or left handed!). Oh and by the way, it helps if you have the hands of a 5 year old for the cable fishing . I'd allow 1-1.5hrs per side if you're working on axle stands, perhaps quicker for the second one once you've had practice. The finished article:
Real life is much nicer looking, iPhone pictures in the dark are hit and miss.
EDIT: Being the moron that I am, when I packed away the old light units in the Cree box, I discovered 4 small stand off pieces the same length as the bits of Torx bolt that I cut off I guess it was a better kit than I gave it credit for... check your packaging