I've used lease trader. The only advantage is having your car out there for people to look at. After you initiate a deal, they tell you to contact your leasing company to consummate the deal. If you have a buyer and are using BMWFS, it should go smoothly and you don't need leasetrader.
BMWFS will ask you to pay a fee for transferring and they will need to qualify. Who pays this fee is up to you and the other person to negotiate - I ended up paying it to make the deal go through.