well ... first you'd need a mailbox that allows you to receive parcels in your name. Quite a few companies do it in Niagara Falls, NY. They charge differently and have different policies in handling different sizes of parcels. I prefer CBI since they have no problem keeping large items and they have no problem holding something for you for a month or 2. The rate is per parcel so there is no running cost on the mailbox.
I tried ordering a few things around the same time so I don't ended up having too many trips from Toronto to Niagara Falls in a year.
Buying from US very often is cheaper, not only because parts are cheaper in US, but shipping is also free (in many cases) so you'd end up saving quite a bit compared to buying in Canada.
Most folks in bimmersforum would be able to recommend a few places for ordering OEM parts at great prices, e.g.,
These are parts dept of BMW dealers in US and their pricing beat our Canadian pricing hands down (and most of the time cheaper than US dealer pricing).
Make sure everything is declared properly to Canada Customs when bringing them across the border. It is not worth the risk of non-declaring / under-declaring the items if you'd plan to buy US items on an ongoing basis. Once you are on a black list you are almost guaranteed to be strip-searched in every single crossing. They rarely charge any duties (even for items made outside of NA) based on my experience. 13% is all you'd need to pay to the Customs.