If the spring isnt pigtailed, then you can safely cut a coil off (or more probably, depends on the spring) to lower the car, and as a nice side effect the spring rate will go up too.
If it IS pigtailed then i wouldnt start that kinda thing.
IIRC quattro rear springs are pigtailed at the bottom and parallel at the top, as are the fronts. If thats the case, then carefully grinding a coil (or half a coil or whatever) from the top of the spring wont be an issue, as it will still correctly seat in the spring platform and as long as you dont take too much off, it will stay properly seated when the suspension is at full drop
Heat will change the tempering of the steel, and could affect the spring rate or even cause it to snap. if your going to cut a coil off, use a very thin cutting disk (0.8-1.2mm) to minimise the heat dissapated.
If your wanting to make a good job of it, you need to arm yourself with the weight acting on the spring, the spring rate, and the free spring length. From that data you can calculate the new rate and new ride height after the chop.
One rough way to work out the spring rate, is to pop the spring on a set of scales, measure its free length, then lean on it with all your weight, then take a note of the compressed length and how much it shortened by. If you then use that spring rate, and the compressed length when fitted to the vehicle you can calculate the force acting on the spring.
Or you can just beast in, hack a coil off and see what happens