You should have a switched positive going to the HU, isn't that close enough for you?
Newer Audi's don't seem to have an ignition on lead (using the CAN-BUS to tell the HU that the ignition is on), in which case you are looking at picking it up from the fuse box (S-Cont - Radio). This is detailed in the ICE forum for an A3, should be similar for an A4. But yours being a B5, it should already have one going to the HU, is usually a red wire with a yellow stripe.