I've done it on mine, mainly as a preventative measure given the age of the car.
It really isn't difficult ; as has already been said , the main thing is not to drop anything into the engine whilst doing it!
I found that a new Genuine replacement from a VW main dealer via eBay was actually cheaper than trying to source one from my local TPS branch , cost was circa £100 delivered a few months ago.
The guides will tell you that a special VW tool is needed once the loom is installed to tighten the outer plastic locking ring against the inner part of the loom assembly that is fed through the hole in the cylinder head but this really isn't the case, I used a screwdriver and a small hammer (gently) to rotate one against the other and lock everything into place.
A decent pair of long-nosed pliers will also prove to be very useful to remove and replace the electrical connections onto the injectors and glow-plugs, and you don't need to renew the cam-cover gasket either when doing the job.
It's a substantial rubber gasket which on mine was as good as new despite being 10 yrs old , so it was re-used.