I'd go ahead and change out the air filter, installing a K&N type so you can clean it as needed to save some money. Remember that your engine is pulling a much larger volume of air through it than a gasoline engine does.

Second, run a can or two of Berryman "Diesel Pro" additive through your next two tanks to make sure your injectors are clean. The stuff works wonders. I managed to get 264,000 miles out of a 1981 Pontiac Bonneville diesel - that's right, the infamous Oldsmobile 5.7 liter diesel! But I always kept the fuel treated with Diesel Pro.

2002 X5 3.0 238,000 miles
2004 325i 106,000 miles