My turbo 318i was more fun than my 2.7 and 3.5 M30, so it is worth doing but consider a few things first;
What is your budget?
Can you fabricate yourself?
Have you tried to get a insurance for the car with a turbo?
How are you going to tune the engine/ecu? If not yourself have you factored it into your budget?
Read the link below, it has lots of info and most will apply to your engine.
http://www.e30tech.com/forum/showthread.php?t=3237
Read my build also
http://www.e30zone.net/modules.php?name ... ight=turbo
You ask about oil cooler, does your car even have one?
The usual air meter is normally removed and a aftermarket ecu is used which have its own air measuring device. The intercooler normally fits infront of the radiator and throttle will take a pipe directly from the intercooler.
Read the links, then ask anything your unsure about.