I retrofit the the HIDs from a 5 series in my 99 M3. If your experiences are similar, connecting the stock wiring to the ballast is the easy part. The hard part is modifying the headlight housing to accept the new bulb, and getting that bulb to stay in place. Furthermore, if the headlight housing isn't made for HIDs, then they won't cut off the light pattern at a certain height, and you will blind oncoming drivers.
But I'm in the same boat. I'd like to retrofit my Dad's 99 RX300 with HIDs, so I'm interested in hearing aftermarket kit experiences also!