It is fairly simple to retrofit the SMG wheel on a Steptronic X5. You'd need a SMG steering wheel and also the steering column switch unit (Item '3' in the picture below) as the OEM unit does not have the connector for the paddles.
Vince from
http://www.bmw-paddleshift-retro.com/ is selling a complete kit at a small premium but you would skip the part where you'd have to figure our the wiring etc.
As for using the paddles in my opinion you'll get the most use out of it if you have the Dinan transmission sw installed as it changes the shiftpoints (up and down) to be more of use in manual shift mode.
You should also be aware that some BMW dealers may not like this mod and try to "void" your warranty on transmission related issues (I know of one case with a Boston dealer where they refused to work on a X5 transmission issues as it the SMG wheel installed (and no it wasn't my car
)....
Hth,
Jan