I'm working on installing a C33 radio from an E36, but it's the same idea.
You are going to need the wiring harness for the stereo from the E36 and wire it in to the E30 harness. They also sell an adapter, but I got the harness for free from the junkyard, so that is the way I went. Speaking of adapters, you are going to need an adapter for the antenna as well to go from the E30 plug to the E36 style. I believe Metra and Scosche(sp?) sell them along with BMW (part no. 65 12 1 388 950, $23ish from the dealer). Also, it will not sit flush in the dash unless you grind the lip down where the HU slides in.
It will also be a good idea to get a separate amp to run the speakers as the CD43 was designed to work with the stock, amplified systems in the E36. Without running a separate amp, you won't be giving the speakers much power and the HU will most likely get very hot.
Check out r3vlimited, there are a whole bunch of threads regarding C33, C43, and CD43 into an E30. Mine's all wired up (no amp for now, not worried since I have a spare C33) and I just need the antenna adapter and security code.