There's been a lot of good info on this thread, here's my take on how you should approch your specific issues:
1. Your main complaint is steering wheel shaking "at low RPM / engine loads". This is a little difficult to interpret, but most wheel shaking gets worse at high speed or occurs under braking. If I read you correctly, I agree with dmax and would concentrate on your wheels/tires. If the shaking happens under braking, then your FCABs may be the cause. I have never heard of steering wheel shaking under engine load.
2. If your FCAB's are indeed shot (regardless of whether they are a cause of your issue), it is an easy DIY and relatively cheap ($100). Swaybar end links are also easy and cheap, but the main symptom they cause is noise when going over bumps.
3. Only replace control arms if the ball joints are bad or if they are bent. An alignment shop can tell you that.
4. Only replace shocks/struts if they are leaking or otherwise bad. Or if you want to upgrade your suspension.
In summary, get a proper diagnosis of your issue. Don't just throw parts at it.
2003 E39 M5 Lemans Blue: Truly an amazing car
1999 E46 328i Bone stock 5-speed: Beater and Track Car