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
2005 Porsche 996 Turbo S
2003 BMW Ti Silver M5
2013 BMW X3 35i Carbon Black M-Sport