I had a similar problem with my '94 850 Turbo. I can't say that I noticed it a s shimmy in the steering wheel, but then again, my problem related to the rear wheel brake calipers, so it might not have affected the steering at all.
Basically, it was the result of a "dragging" brake caliper. Initially, it would only cause a weird harmonic vibration / noise at highway speeds, for me, around 55-65mph. Then it started doing it more and more often, as the caliper failed completely. By the time it was replaced, the caliber was completely seized.
I had the car in the shop several times before it completely seized, and they weren't able to find the problem.
I think it was affected by how hot the brakes were as well. Cold brakes were worse, which may explain why your problem goes away if you tap the brakes for a bit.
- Mark B.