A couple things to check for starters:

1. Wheel balance. Do a dynamic balance on the tires. Easiest thing to check. Out of balance tires will cause a steering wheel shimmy at high speeds (over 45 mph or so). While they rebalance the tire, have them check the rims to make sure they aren't bent (which will also cause this vibration). If you bought tires from a tire shop, they often will rebalance for free. I would try this first.

2. Front control arm bushings (about $35 per side for the part plus maybe 1hr of labor). These are the large bushings. Also know as the front tension arm bushings. Supposedly common wear item and can cause intermittent vibration on pretty much any BMW.

3. Bad ball joints or tie rods. Have mechanic check this out.

4. Driveline misalignment can also cause vibration. Have a mechanic check this out.