Yes did it in my old mk4 about a year ago, its quite easy to run the leads down the back of the seat, they also tuck very nice up the side of the centre console and up into the glovebox for the DVD player. I bought the screens (veba) from ebay for £150, infa-red headphone for £80 and the DVD player also on ebay for £45(came with all leads etc)
The hardest bit is cutting the headrest's. There's a hard plastic behind the foam which needs cutting into for the screen backing plate. Once in place all you do is screw it into the remaining plastic with some 2" screws BUT dont cut too much plastic away to begin with or you wont have any left to screw into and hold the backing plate in place!
To be honest for all the chew it wasnt worth it as the kids maybe watched them half a dozen times. Wouldnt get them again