It never hurts to change your oil...
I change mine every 5000 miles. I do it myself. It's really quite simple. Use Mobil 1 5w-30 and order some OEM filters from PacificBMW ($5.10). The whole things should cost you less than $45.
I really dislike the 15,000 mile oil change schedule. It's more a marketing tool than anything else. The oil is your engine's lifeblood. DO NOT neglect it.
Trying to save $40-$50 on a $40k+ car just doesn't make any sense.