The thermostat should be on the front/top/center of the engine. Visit realoem.com for some diagrams that may help. Or visit your BMW dealer parts counter and they should be able to show you an illustrated parts diagram that will help.
Overheating on a BMW can be damaging. The aluminum cylinder head is easily warped and may also cause a blown head gasket. The root cause may not be the thermostat. Thermostats more often fail open than closed, which means the engine runs too cold not too hot. The real cause may be a water pump or coolant leak at the expansion tank, radiator or coolant hose. If you replace the thermostat yourself (it wasn't difficult on my 2004 Z4, yours may be somewhat different though), check for other signs of trouble in the cooling system and then keep a close eye on the temperature gauge. At the first sign of overheating, pull over and turn the engine off. Overheating equals warped head equals bigger money.