Not difficult. Assuming you have bought an amplied aerial (the blue wire connects to the remote on on the headunit). You will also need a grommet for the wing and extension cables from the new aerial to the back of the headunit.
Ideally you want to find out the distance from the edge of the roof to the base of the aerial (find a golf with a bee sting). Place some masking tape of the roof.
Measure and remeasure so that it's correct and mark on the masking tape.
Remove the plastic trim at the rear of the roof lining. Pull the lining down a little and wedge it.
Gently drill the hole for the aerial.
Treat the hole with rust preventor/paint.
Feed the base of the aerial through the hole and attach the extension leads (one for the aerial and one for the blue lead).
Take the cable and (remote lead if amplified) down the rear quarter and along the sills (remove trim as required) to the back of the headunit.
Remove the existing aerial from the wing and disconnect from the headunit.
Cover the hole with the grommet and connect the new aerial (and remote on).