The way I did it was the same as Merlinman's link - apart from I had a bit of re-wiring when I got it out to fit my non VW stereo in.
Just make sure you either DONT disconnect the passanger airbag light 'OR' DO disconnect the battery before you start... otherwise you'll get an airbag warning on your dash that your stealer will have to reset.
Just take care and don't FORCE any parts otherwise there's a risk of snapping stuff. I've had mine off 4 times to fit a stereo, a Roadpilot, a Bluetooth Hands Free, and then again to fit a GPS aerial. No problem at all... just take your time!!!
Would I be able to reset the warning using Vag-Com? I invested in Vag Com, it came from the US in 2 days, to the Channel Islands! I have already tweaked many settings on my GTI, its easy peasy!
The doors lock as I drive off, automatically, one key press unlocks all the doors, and when I remove the key from the ignition, all doors unlock. I can also use tourist mode for the lights when touring the continent, without having to pay the dealership for 5 mins work.