You need a cold air intake, sucking in that warm air is worse than the stock air filter. Look into getting a new chip for your car, a quality one not some cheap one. Even then youll only see a difference on the highway. Regular street driving youll loose the milage. Learned that with my 325is
On my car making a heat shield was cheap and easy so def look into it. I got my Dinan chip off of ebay for about 100. After installing the chip I wouldve easily paid the 250 full price