Not a problem, the airbags stay on the door when the panel is removed.
I had a little trouble figuring out where all the screws were, so you might want to check out this picture.
The screws are hex heads and you'll probably want the T-handle style driver since some of them are deep.
A previous mechanic had already scratched up my doors (probably replacing a window regulator), but the panels are easily removed by prying up on a corner using a large flat-blade screwdriver wrapped in a towel.
I'm just in the process of cleaning up/finishing my install in an `01 325xi. If you have any questions then fire away and I'll help you out.