i did a muffler delete on my Z4M sounded great. all you need to do is find some nice tips. take it to a muffler shop and have them wield some pipes and the tips on there. make sureit is 100% bolt on.
About the loss. I didnt notice a loss of hp at first but overtime the i really started to feel it. The stock mufflers on BMWs were really designed for maximum power,back-pressure. I dont think it would be much different on the E92. RPI dynoed their Z4M with muffler delete and saw 10hp loss. Good luck