wilko trust me on this - nail the f*cker from the first minute. I won't bore you with the details, but you will not do any damage
Contrary to popular belief, engines do need running in - talk of better tolerances etc has sod all to do with it. Engines arrive "tight" from the factory and surfaces need to bed in. The only things that have changed are piston materials, cylinder linings and oil technology. So, although the engine still needs running in, it is a procedure that simply involves putting miles on the clock, not buggering about at low revs for 500 miles etc etc etc. By nailing it, you not only spare yourself the ignominy of behaving like a total lifter, you also will more likely get a better mated piston - cylinder interface (rather than a glazed surface from insufficient revs and heat), more power and no fannying around. To be really anal, ideally mineral oil should be in the engine upon delivery, then changed to regular after 1,000 miles, but seeing as the car wont ask for new oil until 18-20,000 miles, Audi are clearly unconcerned.
I have screwed the living sh*t out of every engine I have ever owned, with no reliability problems (BMW320D 122,000 miles in 2 years, Golf 150 TDi 67,000 miles in 1 year, numerous motorbikes etc etc). This is not because I am a hero or an idiot, its because thats what modern engines like best.
So be nice to your new engine, and nail it.
J