What do you want to upgrade the wheel to (from what)?
What to buy, etc. will depend on what your goal is and what you're starting with.
Many people like upgrading to the three-spoke sport wheel from the regualr wheel. In that case, you will need the new steering wheel as well as the round airbag, since the one that comes with the non-sport steering wheel will not fit.
If you want to go from one type of sport wheel to another, (say from regular sport to m3 wheel, etc.) and already have the round airbag, then all you need is the new steering wheel. There are DIY directions around teh web detailing how to do it, or you can buy the Bentley Service manual for the E46 (which I absolutely recommend you do regardless if you don't already have a copy).
I am not exactly sure I understand what you mean by "getting cruise control function." If your car does not already have cruise control, then simply changing the steering wheel will not give you cruise control. However a quick google search led me to some discusions on other sites that indicates that some people have been able to achieve what you want by simply getting some parts from teh dealership and upgrading teh steering wheel.