Could be your water pump. But when you replaced the thermostat... did you bleed the cooling system properly? I think you can turn on the ignition(don't start the engine) put your foot to the floor on the gas pedal for ten secs... you should then hear the water pump start to cycle on and off. You might have some air in the system - so a "burp" might be in order!
The way you described the car over heating on the highway... it almost sounds like how the old e36/e46's would have the same issue when the water pump impeller would spin freely on the shaft. BMW has had a habit of using composite impellers that are simply not as reliable as a metal impeller.
Btw... Turner Motorsports has good deals on electric water pumps. So does Tischer and United for OE BMW parts.
G.L.
Dackel