You would also need a new bumper and possibly bonnet depending on what year lights you were fitting. All parts available from Audi but, having read many threads on the subject on this forum, it is not a job for the faint hearted and requires electrical expertise, coding with VCDS on completion and a fair amount of money.
Can I suggest you do a search on the forum for 'OEM Xenons' or similar and send a PM to a guy called NHN on here who has carried out all sorts of conversions.
You will be looking at in excess of £1000 I believe !