Originally Posted by ESS4.6is

Well I would try simply cleaning the ICV first, since you have the O2 sensors changed, I would try reflashing after the cleaing to see if it goes away. Since the idle isn't rough and there is no stalling I do not think you have the secondary air pump problem, but it is a possibility.

As for changing the cat O2 it is pretty simple, the setup is likely different on the 3.0, but basically put the x5 on ramps and find the sensor module (should be a black box), which should be near the driver side door. Unscrew the module from the frame and disconnect the wire that goes to the pre-catalytic converter oxygen sensor. Using the wrench disconnect the seat of the O2 sensor and it should unscrew. Replace with the O2 sensor and tighten with the wrench. Reconnect the new O2 sensor to the vehicle wiring harness. Snap the connectors back into the sensor module and reattach the module. Reflash and check SES lights.