EDIT: Nov. 19, 2007 - pictures re-uploaded 
This post is designed to complement the already excellent post on repairing curb rash on a Porsche wheel
here. I am merely adding a few more photos, as well as proof - for those, like me, who need additional reassurance - that the process will work on BMW wheels, too.
Note that, unlike the OP, I removed the wheel to make the job easier and to avoid the risk of any paint going on my black bodywork. It DOES fly everywhere!
Here's the damage. Only cosmetic, fortunately, but it had to be repaired and the garages & bodyshops I contacted were quoting me $200 + 3-4 days w/o the car, as, of course, there's no spare wheel (great idea that, BMW!).
Shopping list (approx $30):
- emery paper, 4 sheets (1 each of 180, 240, 400 & 600 grain)
- white spirit/paint thinner
- masking tape + adhesive tape
- 1 small pot aluminium putty (you hardly use any)
- grey primer spray
- "alloy wheel" silver spray
- clear varnish spray
Begin by thoroughly cleaning the affected area of the rim with the white spirit on a clean cotton rag. This is IMPORTANT.
Then, using the coarsest emery paper (180), wrap a strip around a knife handle to achieve a flat, yet manoeuverable tool. Finish off carefully with the paper around your finger, if necessary.
I was amazed how much better the rim looked already after just 2 minutes of rough sanding:
Cut some short strips of masking tape and mask off the tyre ready for the putty. Make sure the tape is pushed as far into the lip as possible between the tyre & the rim.
Mix the aluminium putty & hardener as per the instructions on the tin. It begins to harden after 60 seconds or so, which is why you should mask first.
The wheel should look something like this once the putty has dried.
The instructions on the tin recommended the putty be left to dry for 4-6 minutes, but I left it for 20 for good measure, then sanded it down using the next grade of emery paper (240) until it was smooth and looked like this.
The wheel should now look like this (alreay a lot better):
Now the scary bit - painting. Begin by masking the entire wheel, cutting a circular piece of newspaper to fit around the damaged area. Note this applies ONLY to the primer stage: do not make a hard mask line for the silver spray (more on this later).
Now spray the primer as SLOWLY as possible. I put on three coats, waiting 20 minutes between each application.
Now, using the 400 or 600 emery paper, lightly sand the primer to roughen it up and feather the hard edges.
Now mask the centre of the wheel again, but DO NOT create a hard edge on the rim, or else paint lines will build up during the spraying. I formed a slight inverted cone shape with the newspaper and stuck it to the centre of the rim in such a way that the edge (which I had 'traced' by pushing the original sheet around the tyre-rim lip) stood proud of the outer part of the rim. This avoids spraying the rest of the rim needlessly (and messily), while achieving an invisible feathered 'edge' to the paint.
I sprayed 4 coats of silver - be patient and spray as little as possible each time, allowing 20 minutes minimum for each successive coat to dry.
Repeat the process with the clear varnish (3-4 coats). Avoid the temptation to rush this part - leave plenty of time for each coat to dry and avoid spraying too much in a single pass!!
Hey presto, the finished wheel. Leave overnight then put it back on the car and give it a polish to buff out any remaining overspray, dirt, etc
