Double Dark Side! Diesel & 8P
The debate will go on forever.
Once apon a time everyone was all for closed airboxes and now everyone seems to be running cone filters.
I think the main thing to remember is that the 1.8T and K04 turbo love lots of air. Overall the best setup would probably be a cone filter (heat shielded) with 3" turbo intake pipe, a nice decent cold air feed from the front bumper, a front mount intercooler, and a 3" downpipe. With all this the engine can breath a lot more freely than as standard.
From my point of view I dont think it's worth going for a cone filter unles you have some of the other above mods in place to aid airflow. All you'll end up doing is sucking hot air into an already hot turbo into already hot side mount intercoolers, heating an already rediculously hot exhaust system.
Anyway, just my 2 pence