Disconnect the battery. On the bottom of the steering column is a little 'trap door' that hides the connector for the airbag. Disconnect this. Whatever you do, don't reconnect the battery until the airbag is back in place and this connector is connected - it may set off the SRS light on the check panel, and the dealers can't even reset this anymore, to the best of my knowledge.
Two torx-bit screws on the back of the wheel hold on the airbag. Once those are loose, you can pull the airbag off of the wheel. Set it someplace safe - remember, it is an explosive device.
Mark the orientation of the steering wheel to the column stud with an awl or a marker.
Now, get a big wrench and 22mm socket (or is it 21mm?) and pull the nut off. BMW calls for replacing that nut with a new one, but I just use blue Loctite when reinstalling.
When removing and reinstalling the wheel, you need to make sure that the turn signal is in the center/neutral position. Otherwise, you could break off the plastic pawl that cancels the turn signals when you turn a corner.
Put your key in the ignition, turn it far enough to disengage the steering wheel lock, and remove the wheel.
Installation is the reverse of removal.