the airbag is the center round object. when you buy just the steering wheel, there is a big whole in the middle; waiting for a airbag to be put in. so it depends on what wheel you want.
for example, the 'sport steering wheel' in the 3 series uses the round airbag. so ppl with this wheel can easily get the M3 wheel since they all share the same airbag. for me, i had to buy the airbag cuz my wheel was the triangle shaped airbag.
i believe you have the older style wheel for the M5. if you want the new wheel in the newer M5s (the one i have in mine now) you will need both a new wheel and new round airbag. the difference between the two steering wheel is the new one is much MUCH thicker; this gives you tons of grip for your hands to grasp. the new wheel is a bit smaller. there are thumb rests that are much larger than the old styled one. the wheel itself is made out of a very strange material, it feels almost mushy like foam, this is wrapped in leather of course. and of course, it looks better
i strongly recommend this mod. you may think 'eh, its a steering wheel'. but its so much more than that. my driving sensations have increased dramatically ever since i got it.