In theory you could but I wouldn't want to risk it. Not in the current weather as it will affect battery levels etc.
However if I have done my maths right then in the summer or in a warmer climate I think you'd be ok.
e.g.
If you are just using one side for parking lights, either left or right you are only powering two 5W (Watt) bulbs. (1 x sidelight and 1 x tail light) Total 10W.
using formula Watts=Volts*Amps you would get the 10W = 12v * A.
To find A you divide 10/12.
10/12 = 0.83 Amps
A typical battery on an A3 2.0 Diesel is 85 AmpHours (85Ah) (my new one is anyway), which in theory means it could supply 1 Amp for 85 hours, however I doubt you'd get near the 85 hours before the battery gave up.
So if you were to leave one set of parking lights on for 8 hours, it would use 6.64 Amp Hours (Ah)
Again in theory you would be ok with this.
If however you were to leave you full sidelights on. ie both front, both rear, and number plate bulbs that is 30Watts in total.
2 x front (10w), 2x rear (10W), 2x number plate (10w)
30/12 = 2.5 Amps (rounded) * 8 hours = 20 Ah.
This I think would start to give you problems as it would use nearly quarter of your battery's power in that time just to run your lights.
Obviously though using either amount of power would reduce the cold cranking power available for starting the engine in the morning.
As I said above I think I have got my maths right for this. If I haven't please correct me.