At TDI Club, search 'zero start coolant circ. heater' in the 'General Maintenance - A4 TDIs (VE and PD)' section.
The thread is a good start.
According to that & other threads I've read on it, seems like it's definitely cheaper to DIY in Canada, mebbe not so much in the US.
'Snowman' had a great set of directions online but the link doesn't appear to work any longer
I know there's more info including the hose numbers to buy, but I can't currently find them...