After playing around with installing the Aux input for a little while I thought I'd contribute my experiences. I took
some photos (but probably not enough) along the way, in the hopes that it helps.
BFest Z4 Aux Install Instructions
BFest Z4 Vent Removal Instructions
The method I used for removing the vents seemed to work pretty well. I cut two strips of credit card just a bit narrower than the openings for the vent clips. I inserted them at an upward angle, towards the front of the latch openings and wiggled them till they slipped over the top of the latches. A gentle tug and the assembly came out. The latch openings are only maybe .25-.5" back in the vents, really just behind where the slats end (see photos).
Following the directions from earlier posts there is a swing latch that connects the radio to the radio wiring harness, lift it up gently to release it. There is a press latch that attaches the antenna wire to the radio, its located on the right side of the antenna connector, you may need a small screw driver to depress it to get it to release.
I used the E46 cable (as recommended in an earlier post), which I got from eBay for $35 shipped. To use this cable you'll need to remove the gray plastic housing from the outside of the connector, there is a latch on one side of it, simple lift and the black plastic connector inside should release and slide out. Then remove the wires from the black plastic connector. You'll probably need a knife or paperclip to depress the latches for each pin.
You'll then need to remove the black connector from the radio wiring harness assembly (its the one on the lower left in the photos). Besides the position, it only has two wires going into it -- brown/black and black/gray as I recall. This connector is held into the wiring harness by a latch located at the rear. Depress the latch and pull and it should release. You'll notice that like the E46 harness, this is harness is also composed of two pieces. You want to remove the retainer housing of this harness. Slide the wires in to the connector in the locations described in the BFest link above.
Put the assembled cable back into the radio wiring harness, it should click into place snugly.
Rather than modify the ashtray, I slacked off and fed the aux wire down into the passenger wheel well near the map holder, using the time tested coat hanger method. I secured the wire in the dash under the ash try to insure that it doesn't place any stress on the radio wiring harness.
Hope this helps.