My dad has an '02 530i with an auto trans and he has noticed the shifts not being as smooth too. I read that changing the filter and some of the fluid is the best. Some people reported problems when they had all the trans fluid flushed, apparently it would knock deposits loose and they would screw things up (no reverse gear, yikes.)
So they recommended draining the pan, changing the filter, and then just refilling the pan. After a few months, drain the pan again and refill it with new fluid. That way it cycles new fluid in with the old and hopefully after a while it would be mostly new fluid.
Here's the part numbers for your transmission if you want to get a new filter.
http://www.realoem.com/bmw/showparts...96&hg=24&fg=15 Edit - here's the cabin filter
http://www.realoem.com/bmw/showparts...47&hg=64&fg=10