I've always snapped the filter into the cap (post new cap O-ring install), then install the cap/filter assembly into the housing.

If you notice, the filter ALWAYS comes out of the housing attached to the cap (at least on the M62 with BMW dealer sourced filters).

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'03 X5 4.4 Sport, last of the M62s (8-03 build date)
I believe in deadication to craftmanship in a world of mediocrity!