You may want to consider using these...

FREE SHIPPING! BLACK lug bolt covers ALL BMW wheels:eBay Motors (item 370220987292 end time Jul-26-09 07:09:32 PDT)

I first had a set on my 2002 7 series. I took them off when I unloaded the 7 and then placed them on my X5. While mine are chrome, I am sure that the black ones would look just as good. A quick install and while they are very easy to remove...they don't fall off.

They also come in other colors...

bmw bolt covers, great deals on eBay Motors on eBay!

I had also picked up the bule ones but I didn't like the way they took away from the BMW rondell. Just my taste...

Hope this is helpful.