Right so, I think I've solved the issue (he says)... for all of you out there that are having the same issues, this is what I did.
I read on another forum that it could either be the wheel speed sensor or the steering angle sensor.
I called up my local BMW specialist and they told me it would be £70 for the diagnostic test and if it was the steering angle sensor, then the column would need replacing which would be £400 + £500 lab. I obviously laughed and put the phone down.
I first tried the simple fix of cleaning the wheel speed sensors as I read these get very dirty and is a common fault on the 1st and 2nd gen minis. I followed this link to find where the part was (Pelican Technical Article: ABS Wheel Speed Sensor Testing R56). I only cleaned the piece that reads the wheel speed, I didn't bother with the connector. I used some meths and numerous drill bits to clean the plastic bit that goes in behind the wheel hub and hole itself. I used some silicone based grease to make sure dirt wouldn't get in as easy (I read that on a forum as well). I took the car for a spin and the lights were still there... AAAGGGHHHH!!!
I pulled back on the drive and decided to have a mess with the dash to see if I could sort anything AND I got the codes up!!!!! Now I'm not 100% sure how I did this but I followed this youtube video (Resetting brake pad service indicator R56 MINI Cooper S). Instead of going into the service section as he does on the video, I pressed and held the stalk on the "CHECK INFO" section. It the gave me the two fault lights in the middle of the screen and nothing else. I decided to press and hold the stalk on one of the lights for a good while and it jumped back to the home section. BUT as it jumped back to the home section, some codes appeared for a fraction of a second on the screen. I then repeated the process and the codes were there with the light (SEE MY IMAGES ATTACHED)!!!! As you can see from the images I had code CC-ID 074 & CC-ID 237.
I then googled these codes and CC-ID 074 meant I had low brake fluid and 237 meant there was a stability error. I then topped the brake fluid up but it was basically overflowing anyway, so I just wiggled about the box. I rang my local BMW dealer again and asked them if they knew what the 237 fault could be and they didn't want to know! They said the only way they would ask a mechanic would be if I were to bring it in and them to see the codes for themselves (what a joke).
I decided to give the car a little wiz after messing with the brake fluid pot and THE LIGHTS HAD GONE! I can't say for definite that they're gone for good and I don't know if it was actually the wheel speed sensors that did it and they needed time to reset but either way, I think I did it. I wont know until I give it a good drive but I'm currently buzzing!!
I hope that makes sense to anyone that has these lights and unfortunately has an R56, because it's by far the most stressful car EVER! I can't wait to sell and get a Japanese!