I finally got around to install an AUX. The articlehttp://www.xoutpost.com/articles/x3/stereo/16864-bmw-aux-input-installation-navigation.html is excellent for mine (2006 with Navi) vehicle.
Want to share a few notes while everything is fresh in memory,
The original part is _not_ worth $35 becasue you won't be using the connector. So find something on ebay/amazon that has a female and anything else on the other side. Just check that the other side has 3 wires. Based on my current quick search you can get away with ~$10 shipped.
Monster cable - instead of it, i bought 3.5 straight and angle cable ( $5 or so ) (
Amazon.com: StarTech.com MU3MMSRA 3 feet Slim 3.5mm to Right Angle Stereo Audio Cable - M/M: Electronics)
Instead of connecting these two as described in the article I secured the BMW cable to that hole in the middle compartment. Check picture in step 26 of the article where X3eme attached excess of the cable in the middle compartment.
Then i drilled a hole to allow connector to plug into the AUX.
Here is the picture i took last night.
The edges look terrible on the picture, but it looks just fine in normal light.