I tackled this problem on my 1995 525iA. It was slipping when cold in reverse and began leaking. The problem is this gasket:
http://www.bimmer.info/bmw/sbcncsu/C...Gasket%201.jpg
It is not durable enough nor is it clamped with enough force to prevent it from deforming as you see in that picture.
The gaskets seals the fluid pressure from the pump back to the clutch packs. Once the gasket goes, you have lower hydraulic pressure and thus, the slipping trans.
This is the housing that it seals, it is the overdrive housing. It is forward of the main transmission housing:
http://www.bimmer.info/bmw/sbcncsu/O...Gasket%202.jpg
When the gasket gets really bad, the trans begins to leak a little ATF where the main and overdrive housings join.
The good part is that this repair CAN be performed by a qualified transmission repair shop. DO NOT LET THEM TALK YOU INTO A REBUILD if all you are experiencing is the slipping when cold. If it slips when warm or shifts really badly, then rebuild it.
I recommend that you take a copy of the service bulletin above with you to the shop. If possible, go the the stealer and get the repair kit associated with the service bulletin.
If you buy parts from an aftermarket supplier like ATC or Transstar Industries, you will not get the revised (read STRONGER) bolts that will increase the clamping force when assembled.
HTH. Any questions, PM or e-mail.
EDIT: Cost for me was an aftermarket rebuild kit at $135. The kit from the dealer should be around that, perhaps slightly more. The time for a good trans guy to do the repair
should be on the order of 4 hours R&R, 4 Hours Repair, so 8 hours at ~$50/hr. Count on $400 + parts and shop supplies.