Vid is correct for pulling the airbag off on the Z4. One spring clip on each side access through the holes behind the spokes. I used a small phillips screwdriver that fit the holes perfectly and hit the springs with no problem. I ended up not even disconnecting the wires to the airbag. I wasn't taking off the steering wheel and there was enough slack in the wiring harness for me to pass it though the steeing wheel and let it rest while I worked on the spoke covers.
After the air bag is off I didn't have any problem getting the side spokes off. Just remember to disconnect the battery before messing with the air bag so you don't set an airbag fault code.
I wrapped my spokes in a 3d carbon fiber vinyl and they look a lot better. Should have come from the factory like this. Wrapped a few things to accent the interior.