WHen you say heavy....do you mean when its turned? under tension?
Like if you are turning into the driveway, it requires some elbow grease?
the other tech guys on here are more in a place to advise, but could be a number of things i think:
1.poorly inflated tyres
2.electric steering wheel fluid (power steering fluid)
3.axle problems (control arm bushings and the like)
if its under MP, take it in to BMW and let them see what the hell is going on. if not, maybe ask one of the fanatics to check it for you on the next breakfast run?