The iPhone does not provide antenna leads in it's connector.
http://pinouts.ru/CellularPhones-A-N...r_pinout.shtml There is no way to use the X3's built in antenna. The reason some are seeing better reception in the cradle is that the iPhone can generate more transmission power when it is plugged in. Try testing with a USB cable without holding the iPhone in your hand and the results will be the same as in the cradle.
BMW does provide docks for other phones like Nokias which have a separate antenna connector, usually in the back of the phone under a little rubber cover. You remove the cover before placing the phone in the cradle.
For people not seeing any improvement, it is probably due to your local carrier and the frequency they are using. You get better reception with the 850/900MHZ range than the 1800/1900mhz range.