If you want to do it yourself, then you need to buy the Cruise control indicator stalk. Available off ebay for about £50.
To fit it, you need to remove the steering wheel and the steering column surround to gain access to where the stalk is mounted. Swap the stalks over and put it all back together.
You will then need to code it in i.e. tell the car's ECU that it's fitted. This can be done by your dealer (they will charge you) or using a VAGCOM if you know anyone with one. I watched my mate do it in less than an hour (although he is a VW tech) and it's pretty straightforward if you know how it all comes apart.
If you plan to try it yourself, then search google for a pictorial guide on how to do it, there are some available on the forums. Alternatively, get someone off here to do it for you and give them some beer money.
Note: In the cruise control box that VW will sell you, they also provide a black wire which may, in some cases, need to be fitted in order for the cruise control to work. In my car (an '06 GTI) the wire was already fitted at the factory. If you need to fit the wire then this will be more tricky as you need to route it through the bulkhead. Not sure if you will need to do this or not.
Some dealers will fit cruise for £150 all in. That's not a bad price to be honest.