That's why I blacked my headlights out when I put projectors in. Exact same reason. I used some high temp engine enamel spray paint by Dupli-color that I found at Meijers while I was doing my grocery shopping

. It's rated for up to 500°F.
Or you can buy/fabricate some shrouds that cover up everything. The OEM E46 shrouds should do a good job if you're willing to dish out the cash. Or some range covers will work.
EDIT: yeah I doubt those blue angel eyes are legal either... well technically none of it is DOT approved

but if the angel eyes are bright enough, they can attract the popo since blue in front of your car is definitely a no-no.