Yep - tyres are going to be expensive. I also wanted to do this when I had my (ex) E46 330i, but when I discovered that the rear rim is 10J, I decided against it.
You could however get 4 narrow fronts and that should work (with some spacers for the rear), but it's difficult enough picking up a normal set of narrows/wides, so 4 narrows will be an even bigger challenge.