I just looked at your avatar and I guess you have the pre-facelift (2001-2003) X5. It is a known fact (even a dealer told me) that the 5 speed gearbox can cause problems.

We have the same problem with a 2002 X5 3.0d here. The car makes unneccessary revs and shifting is not smooth anymore. And the funny thing is that we have a same grey smoke coming out the bum as well (even when the engine is warm).

So perhaps you need to replace the gearbox. But I am not a technician or something, so asking other experienced members or the dealer is your best bet.

Good luck!