When i did mine there was no problem with the spindle dropping off, infact, it was bloody hard getting it off the old cable to put onto the new one! Mine was held in by a little circlip that i transferred onto the new cable, and then forced the old spindle onto the new cable and it was held in fine. The only issue i had was the gasket on the gearbox had perished and disintergrated when i undid the old cable.
New cable was about £20 from VAG.