It's funny you ask, I just installed an aux-in into my 2005 E46 yesterday and I took pictures as I went. I ordered the OEM cable from the following:
I watched this first to familiarize myself with the procedure:
The OEM part kit has instructions for installation for the aux-in jack in the glove box but I decided I wanted it in the center console. All you'll need is plastic trim tools (you can buy a full set at Sears for ~$20), a phillips screwdriver, a drill, and a couple of drill bits. It took me about 2 hours to complete. Here are a few of the pictures...