Get the USA-SPEC DF-VW.
It provides 2 seperate Aux jacks with RCA inputs for two separate MP3 players or other audio devices.
I've used the Blitzsafe adaptor and it worked well too. I really like the USA-SPEC adaptor because it allows me to use my portable Satellite radio and iPod.
It doesn't matter if you have the Symphony II in-dash 6 disc player. The only trick you need to know is that when you plug it into the radio you need to unplug the lowest connector on the back of the radio to force the radio to see the adaptor. It's a known problem but after you do this it should work fine.
The Symphony II is set up to receive a 2nd CD changer in the glove box and basically these adaptors use this audio input to the radio to provide a direct audio connection.
Trust me, it doesn't matter if you have an in-dash CD changer because that's how all A4's are built in the USA and there are tons of people on Audiworld who use different adaptors.
If you can't find the USA-SPEC DF-VW adaptor in Europe then most likely any other adaptor will work as long as it has RCA inputs. You'll only need to buy a cable that runs for the MP3 players 3.5mm headphone jack to 2 RCA male connections.
Oh ya, you'll need radio removal tools.
Don't use an FM transmitter because they sound like crap compared to a direct connection.
Good luck!