I've had some pretty good results with this so I thought I'd share my experiences... I dare say this is old news to most of you.
A couple of years back the smg was missing gears and dropping into neutral, the problem got worse over time until I couldn't select any gear at all. So I called BMW service, they diagnosed the problem, over the phone, and suggested some fairly expensive repair, about £1400 plus if I remember correctly. Anyway, a friend of mine suggested I switch out the smg relay at a cost of about £5.. problem fixed

I was pleased.
About a year later the car refused to start, I had to turn the key multiple times or hold it in the on position for a few minutes to get the car started.. as you can imagine this was a pain in the butt. The problem got progressively worse, BMW suggested a new starter motor. I thought I'd try switching the relay again... problem fixed, I was pleased. From this point on I always carried a spare in the car.
This morning gearbox was stuck in gear... stuck fast at first but I managed to coax it into reverse, couldn't select neutral though so couldn't start the car. Changed the relay and it started straight away... I'm a big fan of this relay. It seems to have a short life span and is definitely affected by cold damp conditions, but every time something scary goes wrong a new one seems to fix it.
I wonder if anyone else has had the same experience...??
Carl