Your only issue will be to get the extension correct, as the probe and gauge will only work one way. Googling should find the answer.
Edit:
Red is always negative. Black always positive. Yellow always positive
White is always positive except when with black. 
thats completely backwards from how the americans rig stuff up..
again tho, theres only 2 wires, and if its wired wrong, you simply reverse the wires.. nothing gets fried or anything like that. the gauge just reads backwards..
Remember we are only talking thermocouples here, and which way round to put the compensated extension leads. Reversal of which will create errors in the readings
British house wiring was red 'live' or positive, black neutral, or negative and green earth. Along comes Europe, and we get brown live, blue neutral, and green with yellow stripe for earth. Then along comes VW and creates another mix....
My brain hurts! Anyways ill just try it and if it doesnt work I will switch the leads. Thanks everybody for your help!
I guess I wasnt so clear in my description. I have red and yellow coming from the probe but the gauge has red and black coming off it. I guess Ill just have to do some trial and error.
i would connect the red wires to each other, and then connect the black and yellow wires..
thats what makes most sense to me..
Thats what I was thinking as well. Ill try that first. Thanks!
I see you are in Oregon, did you go to Pac Waterland?
yup, i sure did! saw Josh down there too, got to drool all over his Caddy.. i wish i would have been there earlier, and would have driven my rabbit.. i really wanna put it on a drag strip. it wraps the speedo in a hurry with the new close ratio box..
heres a link to the few pictures i took at Waterland..
http://www.vwdiesel.net/forum/index.php?topic=30028.0
Awesome. I wish I could have gone. Im planning on going next year for sure.
this be my second year in a row.. last year was definitely WAY BETTER!
im going to be driving my TD next year tho.. and i wont be showing up fashionably late either..