I bought a filter kit for the auto tranny from Bavarian Autosport, it included the filter, a new gasket AND as an unexpected bonus, two brand new drain/fill plugs with gaskets. Very handy.

There are good articles in the articles forum about changing diffy and tranny fluid.

And the reason that some people want to change transfer case fluid is because fluids need to be changed, despite the crap that BMW is trying to feed everybody about 'lifetime fill' fluids.