On my 2011 35d the entire steering wheel heats up. The hottest part seems to be around where the vertical spokes at the 9 and 3 o'clock meet the circumference. I've only been driving it for a week but I've used the feature quite a bit in that week.

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8/2011 X5 xDrive35d Sport, Black Sapphire Metallic, Black Nevada Leather, Fine Burr Walnut Trim
2/2001 M5, Jet Black, Exclusive Complete Black Walk Nappa Point Heritage Leather, Black Cubic Trim