Ok, so I decided to do a quick DIY to replace the SMG Relays. There are two of them. One of them Salmon colored, the other black.
Here are the Part numbers for both relays:
SMG Pump relay: 61366901469 ($10.94)
Transmission Oil Pump Relay: 12631742690 ($6.94)
You can get them from GetBMWParts.com (best prices online) and most dealers stock them.
You will need:
#5 Allen Wrench or Driver
Torx 20 Screwdriver
13MM Driver or Socket/Ratchet (a 13mm wrench will not work, its too tight around the plastic nuts)
1. Open Your hood and locate the passenger side cabin air filter
2. Undo the Plastic 13mm nut by turning it 90 degrees and pull the cabin air filter up and out of the way
3. Remove the drip/water tray to the left near the fender
4. Undo the Torx bolt right below where the cabin filter is:
5. Turn the 3 13mm nuts in the passenger tray 90 degrees clockwise
6. Remove the rubber moulding and set it out of the way, The tray is made out of two pieces, unlock the two pieces by sliding the piece in the center of the tray to the right, and undo the 13mm plastic nut underneath 90 degrees clockwise
7. Remove the tray and place it out of the way, on the left side you will have a Electronics cover. Remove the 5 #5 Allen head screws, and turn the locking tab in the back of the cover and slide it to the left to unlock. Pull up and expose!
8. Locate relays in the back of the ECU compartment. There is only one black one, and one salmon one. Use Pliers to pull up on the top, paying attention to the position of the relay and replace with the new relays.
Follow instructions backwards to put everything back in place and then you no longer have to worry about a relay leaving you stranded!