I haven't done that mod, but your post piqued my curiosity. The S4 has that feature and it looks pretty good IMO. I will have to check it out. It would be very cool to have the BMW Performance steering wheel with illuminated shift paddles.
2011 Le Mans Blue M3// Black extended Novillo w/ Blue Grey Aluminum trim/DCT/ZTP/ZCW/ZPP/ZCP Premium Sound ///Akrapovic Evolution Exhaust
2015 Audi S4 Prestige, Brilliant Black S-tronic
2012 Le Mans Blue 135i M Pkg DCT