The following is a summary of transmission issues:
http://www.xoutpost.com/bmw-sav-foru...s-summary.html
The issue of whether or not to change fluid is an endless debate. The positions are very reasonable and adamant on both sides.
If you change the fluid yourself you will not be changing the fluid in the torque convertor. Some drop the pan, change the fluid and leave it at that. The better way is to drain the fluid drive awhile and do that say 3 times so the amount of old fluid is low. Best way is per Brandon002, have a professional do it. Be sure the new fluid is right for your tranny.
I suggest getting a diagnosis from two transmission experts so you don't do a bunch of stuff and still have the same problem. You can still DIY. FYI- the dealer will not be much help with transmission issues.