Since cars' steering wheels have got progressively thicker over the years, I've found the problem is that the stitching can rub quite a bit. There's not much you can do about that. As far as the leather itself, besides the suggestions for making it softer, it can be re-wrapped. I'm not sure if they sell a kit for your model year BMW but you can check around the internet.
When the steering wheel on my 911 got slick from age, I bought a kit and rewrapped it myself. 240+ stitches if I recall. My fingers were sore for days from pushing the needle through that many little holes. However, it turned out decent and the leather is high quality.
Here's a shot of the finished job. I added the little center touch just at the end.
1979 Porsche Tobacco Metallic 911SC
1996 Porsche Guards Red 993 C4S
2003 BMW Ti Silver M5
2013 BMW X3 35i Carbon Black M-Sport