Like the others above, I would highly recommend going with the BMW hitch. It is engineered to protect you and the vehicle properly while towing. Don't let a few dollars compromise either one. Look at what all comes with the OEM kit and compare it to the U-Haul setup - there is no comparison
Find a few friends and DIY. Here's some good info to help -
http://www.xoutpost.com/articles.php?...ticle&artid=91
And here are the BMW install instructions -
http://www.bmwmotorsports.org/pdf/X5_trailer_hitch.pdf