pull a front wheel off and see how much pad material is left. If it is looking thin, time to change. And you always need to change both side of an axle at the same time. Cant just do, say, the left front, only, have to do both sides on the front and/or both sides on the rear. Don't necessarily have to change front and rear at the same time though, depends upon the wear.
On BMWs you generally always need to change the rotors at the same time you change the pad. And the brake pad wear sensors (one on front axle, left side, one on the rear axle, on the right side) at the same time as the pads. They are fairly cheap, about $6-$8 each (or three pence at current exchange rates )