swapping is pretty straight forward, you take the wheel off and then the calipers and place the pads back in between the disc and caliper.
All the other cars I've replaced have been my jap imports and the pad just slots in straight down between the pistons and rotor, but the 135i calipers are quite large and have bracing between the two so they need to be pulled off.
It's pretty straight forward and once you've done a few you can knock it out in no time. I found a piece of rope from the top of the suspension to hold on to the dangling calipers to be very helpful as the caliper are quite large and heavy and you don't want your brake lines being yanked
I run ds2500's on the street with no squeeling at all. And the pad sensor I just shorted the two wires so the warning light no longer appears.
edit: I just found a guide for those interested:
http://www.1addicts.com/forums/showthread.php?t=263962