if it was me I'd tap into the oil filter instead, there is a spare blanked off sensor tapping there. oil temp much more usefull to know. you'll need an adaptor, oil filter is M10x1 thread
if you really want a coolant one you'll need some kind of inline adaptor pipe with a sensor tapping, splice this into one of your coolant hoses. all vag water sensors on the mk3 are push fit. MK1 golf metal side flange may work, but they usually have 2 pipe connections on so would need to cap that off somehow.