I went there last summer when mine was being built, I was informed at the time the collection option isn't yet available for U.K customers due to licencing/registration issues. Customers from some other EU countries however can collect.
There are two massive glass fronted towers full of new cars at the Wolfsburg factory - in the middle of a lake, the cars are transported through a tunnel system from the factory and placed in the tower using robotic elavators.
When the customer collects the car it is retrieved from it's position in the tower using the elavators and the lucky person can drive it away.
Absolutely amazing to see.