I think you may be out of luck for getting a heated steering wheel with either Lane Departure Warning or Paddle Shifters in your car.
Assuming I'm reading the 2012 X5 Product Guide (attached) correctly, if you've got Lane Departure Warning on your X5, then you must have the M Sport Package installed. The M Sport Package automatically deletes the Heated Steering Wheel option if it came with any other installed option package.
The Product Guide also indicates that adding LDW with any option package automatically deletes Paddle Shifters. Thus, LDW and Paddle Shifters are mutually exclusive options.
So...
M Sport Package means no heated steering wheel, and
Lane Departure Warning means no paddle shifters.
However, from this thread we know that your car does not have to be prewired for a heated steering wheel in order to successfully implement this retrofit alone.
All that said, there is an M Sport steering wheel with paddle shifters and a heater for the E70 and E71: BMW part number 32307846671. However, I'd recommend looking your car over very carefully before assuming that all the features you want are available.
Here's one thread that may help you determine if your car is pre-wired for paddle shifters:
https://xdrivers.co.uk/forum/viewtopic.php?f=23&t=16422