Mine has the Aux already built into the business unit, from factory. What year is your Z4?
These seems to be the cleanest setups for Z4's... pricey though...
http://specdock.com/
Bavarian soundwerks makes some nice audio upgrades for the Z4. Personally, I'm happy with the audio in mine. 10 speakers in such a small space, with solid bass reproduction, I really don't need more!