I've done it - turned out great. I'll try to find the thread created by the fella who originally purchased all the parts (I bought from him after he sold his 1er).
It's a pretty straight forward swap...I would highly reccomed getting a trim puller tool from your autoparts store to get at some of the harder to reach clips. Also, I didn't replace the overhead light units, as you couldn't just order the shell alone, so I ended up painting them satin black with some interior spray paint (designed for this purpose also from autoparts store), being exremely careful to fully prep and mask the parts first. They came out looking factory.
The biggest PITA is the moonroof shade. I finally figured out you have to remove the sunroof glass and make the change from the top of the car...the clips that hold in the shade are pretty straight forward, it's the sliding forward, tilting, sliding back of the roof that is like a rubiks cube to figure out. Once I got that I was solid.
Also, on the actual headliner, if you are auto I found it easiest to put the car in neutral and roll the headliner forward and down in front of the shifter, then spin it and pull out the passenger side. Again, kind of like a puzzle here, but once you get the correct angles etc you will be fine.
Last but not least, this isn't cheap. I bought all the goods second hand (they were never installed as my pal got an M3 before he had the chance to do the swap). Through Dan @ UnitedBMW I think the total original cost was around $900. Ask yourself if it is worth it for the asthetics, or if that $$ could be better spent elsewhere. For me, I went ahead and did it with the deal I got, and carried on the updated interior theme with the M-sport Door sills...you'd never know my car was an '08.
I had posted a few more comments on this same topic here: http://www.1addicts.com/forums/showt...headliner+swap
Here is the original thread created by the guy I got the parts from: http://www.1addicts.com/forums/showt...headliner+swap
Search anthracite headliner swap and you will get abut 9 pages of threads on this topic. Good luck!