When I first got my GTI my car was doing the exact same as you althou my power was ok. I didnt notice however that my MPG was bad as in lower than what i get now, I was lucky to hit the early 20's on the MPG mark. I changed my Temp sensor & termo (was a fatherless son to change the thermo) both for gen parts then I cleared my codes and my car got to 90 and stayed there, I also noticed my MPG got alot better about 27 around city and 34 on B roads & late 30's early 40's on motorway this was about a month after owning my car which strangely enough had a new cam belt & water pump fitted before I got it I later found out that they over tightend my engine mount bolts and 4 months later they snapped in my block costing me a good £700 to have the old bolts drilled out and new mount supplyed.
If i was you, I would book your car into VW, have your Cam belt, Water pump and tenioners & I would also request your thermo to be changed along with a GEN Temp sensor & request your engine mount bolts to be changed.
By VW doing it and not a VW specialist you will have a 2 year warranty with VW, if you engine breaks they will do a full rebuild for FREE! a specialist would prob source a 2nd hand engine and replace. (could be wrong thou)
I recon it will cost you, about £450 max for all the work and you will have a nice VW stamp in the book, you may as well get them to do a full service while they are at it. at least then your car should be runnig 100% and you wont be a debt with a mk5.

Hell if for some unknown reason your car should by some unknown reason to the whole human race still have that problem, *cough* VW Warrenty*Cough*
"it was running fine until it came in for a service and cambelt change" 
Other than that if you wanted to try your hands at a thermo change, follow the link below, the only hard part is getting to the top bolt, you can easly round off the bolt so make sue you got a correct tool you will think that by removing the alterator would make it easyer, truth is, it will be it CAN be done if you take your time
http://www.golfgtiforum.co.uk/index.php?topic=101783.0