Guys,
I'm in the reasearch phase of this one myself, as my rack has developed some looseness that I want to take care of eventually. The steps that D. Clay put out apply to any e36/z3 rack. As far as which rack to go with, they are all an improvement over our stock racks, but there are some differences.
The regular e36 rack is ~3.2 turns lock to lock iirc, while the e36 M3 rack is 3 turns ltl. If you want to go with the M3 rack, a 1995 model is better, because it is a constant ratio model, rather than the variable ratio which was installed beginning in 1996. The Z3 rack is only 2.8 turns ltl, but it does not travel as far, so you will experience an increase in your turning radius if you go with this route.
hope some of that info helps.
Brian