DBX,
It's funny how some without M3's say the break in period is BS... You need to take it easy for the first few hundred miles... You will gradually feel a difference, and you can hear a difference too. Keep the RPM's varied to create the proper seals for the bearings. You will find that most M3 owners that rip on their car straight off the lot will have issues with the motor burning excessive amounts of oil. I have 12K on my car and I followed the Break-In procedures pretty closely... But I didn't baby the car either. My car has not burned any oil, and I drive it hard. All I'm saying is that you need to let your engine loosen up a little... Same with your differential, but that will be broken in without much thought. Think about it, 1,200 miles of easy driving, varying RPM's and then you can enjoy 100K plus miles of fun... Take it up to 7,900 RPM all you want after that.
PM me if you would like more detailed information about the Break-In procedure. I have seen a total of five E46 M3's go through the 1,200 mile Break-in. Each one was done slightly differently and the results start to show at around 5K miles.