2009 BMW 328i - Valvoline Euro 5w40 - 5,000 miles

What parts do I need for that?
You need different OFH, heat exchanger that goes onto it and I think additional coolant hose.
Here is housing with exchanger:

Clean it, slap new gaskets.
Check realOEM what coolant hose you need.
 
I don't think it is needed honestly. The N52/N51 engines are capable of high mileage (2+ people on the forums with 400k miles) without this. If you lived in the arctic circle it might be a good idea, but just use good oil and change it on time and you should be fine. The heat exchanger to oil filter housing gasket is just another leaking point on engines that have it, not to mention all the other hoses and complexity associated with it. The cooler is a good idea if you track the car, and the heat exchanger might be if you live in a year-round cold climate, but otherwise I wouldn't bother.
 
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