I know exactly what you mean my car has 240ish BHP (up from 180) - once you get a little more power first gear becomes a waste of time, you go through it so fast that you simply have to change up as soon as the Turbo has kicked in. Second also stops at 55 (60 at a push) so you have to use third for fast overtaking on non-dual carriage ways. Finally fifth is to low for relaxed cruising.
I looked into the possibility of changing the final drive ratio as this would move everything up a notch but couldn't find anyone who could answer questions about feasability.
I spoke to Kim Collins at QS Tuning re getting a S4 box on the A4 - he said it would fit but would cost £3,000 + as all the running gear would likely need to change.
If anyone can answer this problem for a reasonable cost I would definately be interested.