I did ours a few weeks ago and got the bulbs from BMW as I was told they are a complete unit with the holder so you can't just change the bulb.
1.Remove stereo and cage if after-market, and disconnect battery just in case
2. Remove covers and screws from drivers side footwell. see titan's post in Z3 knowledgebase, Pesky trim screwcaps.
3. Remove 2 screws from top of heater control unit. these are the two facing down at the bottom of the stereo hole. Don't drop them use a magnetic screwdriver.
4. Lift up 2 clips that hold the heater control unit and push gently towards the front of the car, and I think if you remove the fan multi plug you can carefully rotate the control unit in it's opening through 180 deg so that the rear is facing you and pull the bulb holders out from their holes and then replace them.
5. With the footwell loose you can pull it out slightly and shine a torch in to see what you are looking for as you move the heater controls
6. Refitting reverse of above.
Sorry didn't take any photo's when I did ours
Brian