I believe the fuel filter should be replaced after every 3 oil services. So roughly 22,500 miles.

Part number: 13327811227
ECS Tuning:$53
BMW of Morristown: $49
BMW of Fairfax: $52

There was a youtube video I saw not too long ago, let me see if I can dig it up and ill attach the link.

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2004 BMW M3 Individual
2009 BMW E70 X5 35d
2011 BMW E70 X5 35d - Totaled
2009 BMW M3 E90 - SOLD
2006 E53 X5 4.8iS - SOLD
2002 E46 M3 Convertible - SOLD
2006 E46 M3 ZCP - SOLD
2011 E70 X5 35d - SOLD
2000 E39 ///M5 - SOLD
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2006 E83 X3 3.0i MSport - SOLD
2000 E46 323Ci - SOLD