On 1984-1987 E30s, the fuel filter is large silver can located in the engine compartment underneath and just to the rear of the air filter housing. 1988-1990 E30s have the fuel filter located in front of the left rear wheel, where the main fuel pump is on 1984-1988 cars, and replacement is very easy.
To replace the fuel filter on the 1984-1988 E30s, you will want to remove the air horn and loosen the air filter housing.