Yes I did this to my 318i...when you buy DEPO E36 foglights (find them on EBAY or Umnitza.com or Bavauto.com) They actually come with very cear and simple looking installation instructions complete with pictures.
My Automechanic who deals primarily with BMWs charged me $180 to install them and it took him at most half a day to get them in (at least that is the time he had my car for).
He mentioned the hardest parts were removing the front bumper. And you'll have to installl a foglight button on your dashpanel...where there is an empty space for it. You'll also have to install and wire the fuse for the foglights. These are the hardest labour involved the wiring itself is pretty obvious and simple if you have the basic understand of your E36.
I actually would have done them myself but I didn't have the time and I was unsure of my ability to not mess my car up doing the installion myself.
I did however install my ZKW Euro Specs with 6000k HIDs ballasts and DRLs myself. It took me all day (10 hrs). And in doing that I blew out my fuse relays, killed my battery and almost fcuked up my Alternator. My car was DOA in my driveway for a weekend before my neighbor figured out my battery was dead and my fuses were blown.
Anyway...best Advice is buy DEPOs Fogs from Ebay for around $50 and pay the $180 for professional installation.