Yes, I have. Best to do both sides as if you only do one side it will be very obviously different. The process is tedious and painful to your fingers, but it's doable and is a very rewarding upgrade.

BTW, you can skip the heating phase. Doesn't do anything except make the headlight body too hot to touch. Just cut the old lens out and then clean the U-channel that the lens sits into. That's the part that takes the most time. Took about 4 hours of cleaning out the residual old lens and silicon adhesive per headlight. Not fun.

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2005 X5 4.4i Build 04/05 Maintenance/Build Log
Nav, Pano, Sport (Purchased 06/14 w/ 109,000 miles) (Sold 8/15 w/121,000 miles)

2006 X5 4.8is Build 11/05 Maintenance/Build Log
Nav, DSP, Pano, Running Boards, OEM Tow Hitch, Cold Weather Pckg (Purchased 08/15 w/ 90,500 miles)

2010 X5 35d Build 02/10
Nav, HiFi, 6 DVD, Sports Pckg, Cold Weather Pckg, HUD, CAS, Running Boards, Leather Dash, PDC, Pano (Purchased 03/17 w/ 136,120 miles)