Kinda depends on the age of the shox... I put -30mm Eibach springs on my Puma when I had it. Shox had done less than 40k miles so were reasonably fresh. I was very pleased with the results.
If your shox are older, then replacing them with sporty jobs could be a good plan. Sometimes the sports springs can exercise the OEM shox more than they are designed for which will in due course lead to premature failure - it all depends on the quality of the kit, condition of your car and components. BTW Have you checked out the price of AC Schnitzer kit - I was pleasantly surprised at the cost (admittedly when compared to BMW OEM kit).
For the E36, Eibach sway bars, springs and Koni shox get a good name. If it was me, I'd be saving my pennies for either the full ACS kit or H&R Coilovers :-) Well.. I'll stop day dreaming now :-(