You sure can do that. That's the BMW part I mentioned above: # 82 11 0 149 389. (Try www.bavauto.com
or just google on "82 11 0 149 389". You'll find it.)
It's not particularly difficult. There's a thread complete with pictures describing the process here: http://www.bmwlt.com/forums/showthread.php?t=8680
He doesn't mention it, but there are a total of 6 connectors that you'll need ot disconnect in order to free the stingray. They're pretty obvious. The antenna connector simply pulls apart, the big round one requires a 1/4 twist (clockwise as I recall) and then a straight pull to release it. The other 4 have tabs at the side that must be lifted before pulling the connector straight back.
Although it can probably be done without removing the radio from the stingray, it's easier if you at least completely release all of the mounting screws: the two holding the plastic flap and the nut on the bottom plate that secures the bracket on the back end of the radio. Look at it carefully and it all becomes clear. To make life easy you may also want to disconnect the wire to the radio buttons: the gray lever swings back and down and released the connector.
All of that sounds harder than it is. It's pretty much intuitive once you look at it.
Once you've installed the auxiliary cable to the radio, you just need a male/male 3.5 mm stereo patch cord of the proper length to connect the Zumo. Where that will go, of course, depends on where you mount the unit.
Once caution: the audio output from the Zumo is not amplified so the volume will be very low compared to the radio or CD player, and really too low for decent use on the road. The solution is an in-line amplifier. Radio Shack sells one called Boosteroo for about $29. It is battery operated and is a fixed gain. Alternatively there is www.electric-avenues.com
Amplirider which is powered by the bike and has an adjustable gain. I've been using Boosteroo while waiting to install an Amplirider: I BELIEVE that the amplirider will be a much better solution in that it will allow me to set the gain to match the other inputs on the audio system (radio, CD player) so that the volume control on the bike doesn't have to be readjusted when switching between them. I haven't had time to install it yet, but I should know the answer to that in about 2 weeks.