I found the part numbers - you can do this for front & rear doors (all depends on your budget).

51.41.7.000.231 (left front)
51.41.7.000.232 (right front)

51.42.7.000.233 (left rear)
51.42.7.000.234 (right rear)

63.31.6.907.750 (LED)

The LED is apparently in nearly all E53 (pre & post facelight) cars and just taped over in the door harness, as others have posted.

I finally did this (two doors so far) on my E53 X5. Suggestions to those who want to check if your car already has the LED's in your doors' wiring harness.

1) My car (European) model is a 2002 year with the basic 6 speaker sound system. It did NOT have the LED's in any of the four doors.
2) My investigation of dead X5's in junk yards, door harness I've bought, BMW ETK, etc. lead me to conclude that cars with the premium 10 or 12 speaker system (tweeters in your rear doors is an easy way to know this without disassembly).
3) Second thing to check on your car for on-board LED's is to remove one of the front door window switches. You then undo the 12 pin modular plug (white). Carefully remove the black inner connector (small flat blade screwdriver) from the white outer connector. The wire positions are numbered: 1 to 6 on one side and 7 to 12 on the other. IF your harness has a red/brown wire in position 8, your car had LED's in the harness. Re-assemble the white connector.
4) You can then proceed to remove your door panels / cards and follow what others have put up on the site (others have posted the easy procedure).
5) If you do NOT have the wire, it's still possible - PM me. I will post this when I've completed all four doors.