I changed mine the other week (130TDI FWD)
Parts were about £26 from Audi for thermostat, 'o' ring and 1.5 litres of coolant.
Easy job to do yourself if you have a decent set of allen keys (5mm I think)
Thermostat is on the right side of engine (passenger side) behind the back of the alternator. Take engine cover off, disconnect battery and remove positive to alternator (gives you more room to work if needed). Then unclip the water pipe from the bottom of the thermostat housing. Undo 2 allen bolts on housing and remove it and thermostat. Replace 'o' ring and thermostat then put the housing back on.
Refit water pipe and alternator positive wire, reconnect battery, top up with coolant and you're good to go. Let it warm up, topping coolant up as necessary and check for leaks.
Should take you no longer than half hour.
Sorted my cool running out and increased my mpg too
I also this time of year leave the climate off until the temp reaches 90 as this help it warm up quicker and increases mpg.