step by step
You want to follow the current track from the lights back to the battery. It would be nice to have a wiring diagram handy, there should be one on this site. I assume you have no other untoward electrical symptoms and thus the problem(s) are confined to your headlight circuits, and that your headlights are stock and unmolested.
first thing I'd check is whether the lights are getting power or not - remove the socket at the back of the bulb and use a continuity tester or VOM. Check that the bulbs are not burnt out (unlikely they'd both go at once) and that the ground is functional. IIRC the ground is on the front panel, follow the thick brown wire to where it is screwed onto the body.
Next, are the relays operating (do you know how relays work?) There are two "signal side" connections and two "power side" connections. Relays must be grounded, BMW always uses a brown wire as ground, make sure it actually grounds. Terminals on Bosch relays are numbered 85, 86, 87 and 30. Once in a while there is another terminal but it's just an added connection for one of the original four. Two relay terminals operate a solenoid, which connects the other two. Power one of the signal side terminals and when you ground the other, the relay should make an audible click, and at the same time you'll have continuity between the two "power" connections. Sorry I don't remember which are which, but on some relays the schematic is engraved on the item.