No. Don't just drop in a cone filter. Cone filters alone will decrease power becuase they will suck in WARMER air. The stock airbox is desgined by engineers to be as efficient as possible while not being loud. A standard cone filter will hurt your performance, but if you got a cold air intake to a cone filter, or purchased one of the available shields from many of the companies who make cold air intake systems, you won't have that problem.
Max you'll get with a real cold air intake on a given day is 1 - 2 crank hp, which is almost not noticeable at the wheels. Not only that but without a proper setup (to draw air from OUTSIDE the very hot engine compartment), you will notice a negative effect on power. What it WILL do is sound a HELL of a lot better
Honestly it's stupid IMO to waste your money on an expensive aftermarket intake system. All bmw's airboxes have an intake trumpet which pulls cooler air in from behind the headlight, so if you got a drop-in K&N filter (if you aren't worried about the possible extra dust it will allow in) it will be as big of a difference. Unless you have a ported and polished head, AFM upgrade, big throttle body, larger injecters, exhaust headers, and a chip... its not going to be worth the $150 for a good CAI.
These links go for
any car. Remember, I'm not saying it isn't effective, but without the proper setup, it will have a negative effect on performance.
http://www.bmwe34.net/e34main/upgrade/Air_filter.htm
http://www.bmwe30.net/cgi-bin/datacgi/database.cgi?file=articles&report=view&ID=00115&Section=03
This is about ram air.
http://www.bmwe30.net/cgi-bin/datacgi/database.cgi?file=articles&report=view&ID=00004&Section=03