I think that the main problem people run into is having the thermostat passage plugged up. It makes it very hard to bleed since the thermostat has to be open to get air through. I would say that the "right" way to bleed the system is to pull the thermostat cover & clear the passage. I always cut the gasket too. There is no reason to have any paper over the gap (they do it so that the gasket is sturdier in handling). I use wire snippers to make a corresponding channel through the gasket so it won't cover the channel in the housing. The gasket is just a catch-point for gunk otherwise.
Find some non-curing gasket sealer (Permatex makes a variety of products). Paint a THIN layer onto the housing, set the gasket on, paint a THIN layer onto the gasket & then stick it on the motor. I usually use a finger to wipe the stuff to minimum thickness by the bleeding channel so it won't squeeze out into there.
I just bled the system last night & it seems to be fine. When the car is DEAD cold, pour coolant in with the bleeder screw loose/removed. Make sure to have the heater on max heat. Keep adding coolant over the course of the hour until the level no longer drops. You should be able to add close to a gallon before it stops dropping, if the thermostat housing is clear like it needs to be.
My procedure:
Install the bleeder screw, and have it loose enough to be bleeding coolant, but not gushing. Start the car and watch the coolant level. When running, maintain it maybe 1" above the "max" line. Rev the motor to 2500-3000RPM and watch the coolant level. You need to get the car warmed up, past the 1/4 mark for the thermostat to open. When it opens, chances are that the coolant level will drop fast, and nothing but air will come out of the bleeder screw for 5-10 seconds. Keep it revved up until it pisses coolant for 6-10 seconds without bubbling. Tighten the bleed screw & make sure that the coolant level is at the "max" mark or a little above. In a day or two, after driving maybe 50 or so miles check the level again. It may need a little topping off as the last remaining air has worked its way into the expansion tank. Then drive & check it on the regular interval recommended by BMW.