My low oil light - which means you need to add about 1 quart of oil -- comes on after about 1000 miles. We have the same engines (assuming your car is a pre-91??) so that is typical.
All bmw's, including the new m3 and m5 - two of the most advanced production engines on EARTH, burn a quart of oil every 4 - 5k miles. Don't worry about it. Just buy some of your favorite oil at walmart and keep a quart in your trunk. That is what I do.