It's not something we have done before, as I've never seen it happen. I pressume your talking about the fronts? What E46 do you have? The M3's come with a strut bar that's supposed to stop this from happening.
I've got a 2001 330i Touring. From what Ive been reading it seems a sensible precaution when running coilovers, might as well chuck them on at the same time as the coilies. Front for sure but I think they are available for the rear as well, I believe they are part of the 'heavy duty' option. Im think I read that M3s come with them as standard.