theres alot of dodgy info in this thread based on not alot really.
to the OP, your small cone filter isnt the best, but it still does the job, or you better hope it does.
the standard airboxes with an uprated panel filter ARE good, and do increase airflow, but when tuning your car (remaps etc) you'l find that more can be available from large cones, as proved by many users who log before and after, and the tests on dynos that the likes of B5 has done.
the important thing is when choosing a cone filter is you want it to be equal to, or bigger than the surface area of the standard filter, there is v little gain fitting a smaller area filter.
as we all know the MAF sensors on these cars are very sensitive, and its best to choose a filter that is very lightly oiled (as most cotton gauze and sponge are), k&n do have a reputation of being very oily, but i dont speak from experience here, its possibly just the owner putting too much oil on. so be careful!
the next thing i here is cold air feeds and how you'l 'get heat soak'. apart from on a dyno, someone please explain how intake temps at the filter matter when its going through a turbo that sees 800+ degrees????
it doesnt.
the main purpose you should be fitting a cold air feed for is volume and density of air, you want as much as possible so the car gets all it needs.
if you are worried about intake temperatures, then you need to uprate your intercooler!
now back to answer the OP's questions.
if your car is standard it will unfortunately feel a little 'flat' as you put it, they dont run alot of boost at all, and they arent very punchy in standard form. the 'bogging down' you're experiencing is imo perfectly normal from a standard car, they really do have rubbish top end pull when in standard form (and im talking experience from an s3 here, not A3). this is where a remap, silicone TIP and a decent filter will help you out, more punch, more top end pull.
as for your dump valve or DV as it gets referred as, on these cars its important to run a recirculating dump valve, this is where the valve dumps boost back into the intake pipe, as can be seen from your standard set up.
people DO fit a dv called a forge split-r, which does half and half, but please avoid these DV's and any atmospheric ones, your car will run poop!
i suggest you start by buying a TIP, a LARGE jetex/greencotton/k&n filter, and a forge 007p DV, then a remap.
i think you'l then find what you're looking for in the car, the mods alone should improve the cars power delivery and response, and the remap will do that x10.
hope i've helped, i've rambled on long enough.
peace