Success! After a disastrous first attempt where I thought I had bent one of the prongs inside the headlight beyond repair, I decided to try again (after bending the prong back again). Biggest tips I can give, probably been mentioned earlier but I'll reiterate:
1) Remove the wheel! Makes it much easier when you can stick your head and there and see things.
2) Once the bulb is removed, look inside to see the prongs in the housing; they are at 9 and 3 o'clock.
3) Sand the LED bulb as described earlier so they twist all the way in the base - or at least within 0.5 mm from full-twist which is what I did.
4) Orient the bulb/base so it's contacts are at 9 and 3 o'clock to line up with the prongs and slowly and firmly push into headlight until it's completely seated.
5) The most important step: check to make sure it works by switching on your hazard flashers before twisting the base to lock. If they don't work you've either missed or bent a prong. Without studying the contact mechanism before, I though you had to twist the base to make them work.
6) Once they're working, only then twist clockwise to lock and then test once more with the hazards for good measure before putting cover and wheel back.
'11.5 M3 sedan | Jerez Black Metallic | 6MT | M Performance Exhaust | no DCT no EDC no NAV no nonsense