Start your search by connecting an ammeter in line with your negative battery cable (ONLY when the car is off). You should notice a standing current draw. If you're getting any more than 0.1 amps of current with the car off, you can start pulling fuses one by one to isolate the circuit that is causing the power draw.

This is the shortest and easiest way to narrow down your search. The job will be made longer for you, because the fuse box and battery are separated by a lot of space on this car - meaning you'll have to keep running back to the trunk to read the meter after every fuse is pulled.

I had a similar problem on a 1985 BMW 635Csi - it turned out to be a glove box light that wasn't turning off when I closed the lid.

Regrads,
Troy
1995 E420