There are many thousands of people who run the JB3/4 with great success.
Many in the US who track the cars regularly plus meth injection, NOS - the whole hog.
Its safe and proven, easily removed, and you can sell it on when you sell the car
A whole world of 335i/135i N54 engine tuning here:-
http://www.n54tech.com/forums/index.php
Go for the dual cone, not the panel when ordering a JB4.
Panel offers smaller real gains, but both will attract the same insurance premium.
It's not that noisy, but you can 'just' hear the whoosh of the turbos spooling and little of the recirc dump valves without the oem airbox.
The dual cone alone can give up to 15bhp, the panel much less.
The key here is removing the restrictive airbox. All these mods are done to death and proven thousands of time over btw.
Pure HP gains are not the major issue, its longevity and better induction means less load on the turbos = less heat input for the intercooler to manage.
My choice would be tune+DC intake, then an intercooler, then downpipes (maybe).
The car will deal with it okay, you'll light up tyres but it handles okay out of the box.
BMW over engineer (and over price) what is a very mild tune.
I run my cars hard and occasionally track them, so far no issues with heat and oem oil cooler either.
The difference in driving dynamics with a tune is night and day. Seriously addictive and zero impact upon fuel consumption for me.
You WILL wonder how something so cheap can make a quick car a fast car and with the output it should have been built with.
Neil is your man.
Hes the official UK distro for BMS so you'll have no problem there.
And a 14day trial?
Mad not to