For the OEM setup they should fit to the roof rails. However on the 8v the roof rails were a £250 option, so if you don't have them then I would look for an after market solution but they would be sitting on top of the paintwork.
There are plenty of roof bars which fit an 8V without the factory-fit fixed roof rails, ranging from genuine Audi ones (v.expensive) to the likes of Thule and Mont Blanc. They all employ a similar system which uses the hole in the door aperture to locate the bar feet and is specifically designed not to scratch the bodywork.
You don't have to pay an eye-watering amount to get a pair of perfectly serviceable bars. Not at all. The Mont Blanc bars I use on my 8V - which does have the roof rails - are excellent. They were a warehouse sale from Amazon; the box was a bit smushed but the bars (the important bits) were brand new. Thirty-six quid reduced from £145.
Google is your bestest chum.
Depending on what you intend to carry you may well need something which fixes to the roof bars once they're on, but when it comes to that there's probably even more choice.
Don't dismiss eBay, either - in the past I've picked up couple of pairs of genuine Audi roof bars for previous cars, including some for an allroad which I got for £17.83.
I have no roof rails on my Sportback and have a Thule roof rack which gets used a few times a year.
The hole is for correct location of the clamp that holds the feet securely in place. The feet are rubber which sit on the paintwork. You need to get the correct feet for A3 Sportback because the rubber bit is moulded to fit the shape of the roof.
It's all very solid and the paintwork still looks good as new even after carrying 3 mountain bikes for some distance.
Just remember to give the roof a wipe before fitting the rack to avoid squashing dirt into the paintwork.