Yes, I'd start with bedding the brakes first, OP. Just find the directions from your pad manufacturer's site, as I hear protocols vary slightly from one pad to the other...but basically what was said above. Use them hard on the highway...slowing from 60-10 or so a few times with a minute in between...and then after they're hot, don't use the brakes until rotors cool down.
You can collect materials, I hear, from holding the pad onto rotors when they're hot...so I try not to do that. I'll creep up at a stop to ensure the rotor moves under pads.
I'm so depressed. No one wants to come see me. :(
Mangofy your E46!