Sometimes what feels like a warped rotor (steering wheel shake under braking, pedal pulsing, etc.) may not be actual rotor warp but rather improper brake bedding in performed when the last new set was installed. I've had this on both my GLK and the X3.
Before spending money on parts, which is always fun and exciting, I would first look up the procedure. Most cases it involves about 8-10 moderate to hard braking from about 60 to almost zero, but never quite stopping. By the 7th or 8th time you'll start to smell the brakes. Also by the 8th or 9th you should be initiating ABS in the last 10-20ft. Obviously safety around you is important, so do this on a country road less travelled. Once your 10th time is over, the idea is to get on the highway and just cruise for about 15-20min to let the brakes cool off. Don't stop, don't park the car, just cruise along without touching the brakes.
In most cases, this procedure will remove unwanted brake disc deposits on the rotor(s), creating a new disc-to-pad surface and should eliminate the wobble under braking. I know it did for me and others I've read from.
If it doesn't help, then you may just need new parts. Be sure to bed those in properly or they too will wobble in time.
