I recommend doing it with a friend who has done it before, for the first time. If changing oil in the X is a 2 on the scale, brakes (done properly) will be a 3-4. Mainly because the bolts are almost always rusted/welded on. Get a penetrating spray.
I got my parts from
Direct BMW and Mercedes Parts and Accessories All Original BMW stamped boxes and a decent price.
Did my W211 for $225 including front rotors, pads, and sensors.