Assuming your gauge is electrical and not mechanical and also that the oil pressure gauge didn't come with it's own sender, you're going to have to find a compatible sender for that gauge and then find a place in the oil galley to thread it into (maybe someone can chime in here, idk). I believe the e30 m42 has an oil pressure SWITCH which simply causes the instrument panel oil light to come on in the absence of oil pressure and will not work with your gauge. VDO should have available a sending unit with the proper Ohms range for that gauge.
Dave's right, you may have to acquire a T fitting so that the VDO sender and factory switch use the same port on the oil filter housing. Or you could pull the "OIL" bulb in your instrument panel and toss the switch, using that port for the new sender exclusively.