That procedure sounds about right. Especially the part about doing it with the heater on max. Hope your battery is strong though. . I had to jump my car after this procedure, but it had a weak battery. (I just realized your instructions were with the car running. . I didn't do it this way, but I guess it's ok?)
I don't know about your car, but my E46 had a bleeder vent screw near the expansion tank. I had to remove the screw, and kept adding coolant/water until the liquid came out the hole, and I stopped seeing air bubbles.
I found I had to slowly keep pouring liquid into the coolant expansion tank until it was nearly brimming over, and then it would slowly settle lower. I kept adding until it stopped bubbling (spilling liquid as it went. . .), and then inserted and tightened the bleeder screw.
Then I found I actually had to extract some fluid from the expansion tank (using a turkey baster) to get it down under the MAX level.
Hope that helps.