Tools Needed

Basics 

• 4 Jack Stands
• Your Audi Tool kit (jack/lug wrench etc...)

Sockets

• 3/8 Drive Socket Wrench
  
  • Long Extension (I used a 24" extension)
  • 2 Medium (6 inch) extensions
  • 7 mm Deep Socket
  • 8 mm Deep Socket
  • 13 mm Standard Socket
  • 5 mm Allen/Hex Socket
  • 6 mm Allen/Hex Socket
  • Universal Swivel Joint (may come in handy)
    
•  1/4 Drive Socket Wrench (used mainly for leverage advantage in some situations)
   1/4 - 3/8 adapter socket or same attachments as 3/8 Drive above
  
• O2 Sensor Socket *very important* (Try to get a deep O2 sensor socket, it will
  make things easier...will likely be a 3/8 drive)

Wrenches

• 10 mm standard wrench
• 13 mm standard wrench
• 17 mm standard wrench
• 17 mm `extended' wrench (explained below)
• 22 mm standard wrench

Screwdrivers + misc.

• Philips-head Screwdriver
• Flathead Screwdriver
• Large Pliers (non needle-nose)
• Extendable magnetic wand (trust me it WILL save you at least once)
• Duct Tape
• Zip Ties
• A Friend to help

Compounds Needed

• GUNK Liquid Wrench / P-Blaster (or any agent that helps break rusted/stuck
  bolts free)
• Q-Tip or any applicator to get the Liquid Wrench solvent in hard to reach places
• Anti Seize Compound

Optional Components

You'll need this stuff if you decide to lengthen the wires of your O2 sensors as opposed
to pulling on the wires and getting them to extend far enough to reach your secondary O2 sensor location (depends on downpipes)

• Soldering iron or Wire connectors (+ Wire connector crimping tool)
• Heat Shrink Tubing
• Approximately 14 Feet 12 or 14 Gauge Stranded Wire (to re-locate O2's)

Pre-Face

As you've undoubtedly heard this install is a bit of a pain. It's relatively simple in that it's
nuts and bolts kind of mechanical work. It's just that the nuts and bolts in most cases are
difficult to get to. That said, a lot of getting this job done relies on the angle you decide to come at the bolt/nut from. I found that the first way I thought to do something during this install usually never worked and I ended up getting the bolt-off by coming in at an odd angle possibly with a long extension on the wrench or maybe having my friend help. That brings us to the 17mm `extended' wrench...Extended is in quotes because in reality I couldn't find a 17mm wrench long enough to suit my needs for this install. What I ended up doing was duct taping a 17mm standard wrench to the longest extension I had for my socket wrench (nearly 2 foot extension). This tool was the most useful tool during the entire install process. It really helps in initially breaking the DP Flange bolts as it gives you a lot of extra leverage with the extension attached to the wrench.

Install

1. Remove all engine covers
2. Disconnect Negative battery terminal with 10mm Wrench, set cable aside so it doesn't accidentally come into contact with battery. (also be careful not to lean on the battery while your other hand is on a metal surface ;-O not that I did that or anything)
3. Set aside plastic Intake Tube attached to MAF Sensor and Y-Pipe (makes it easier
to access things later) 

a. Using large pliers squeeze clamp attaching plastic intake tube to MAF and slide the intake tube off of the MAF
b. Using large pliers squeeze clamp attaching intake tube to Y-Pipe and slide off
c. The entire intake tube can now be pivoted 90 degrees (pivoted on the hose attachment) so as to be out of your way for what's coming up.

4. Remove MAF

a. Disconnect MAF sensor (insert flathead screwdriver into clip to help disconnect it)
b. Pop 2 retaining clips off of MAF housing
c. Pull MAF away from Air-Box (be sure not to lose the O-Ring)
d. Store the MAF in a safe place, preferably in a sealed container or in a
plastic bag

5. Remove Airbox

a. Using Philips head screwdriver disconnect Intake Tube from Airbox.
b. On the lower portion of the front of the airbox, pop the black wire out of
it's retaining clip
c. Using 8mm socket unbolt the sensors on top of the airbox and set aside
d. Using 10mm socket unbolt the support bracket for the airbox (located on
passenger side fenderwall)
e. Making sure all tubes/sensors/wires are clear of airbox, simply pull up and outward on the airbox (it should pop right out)
6. Move coolant tank out of your way
a. Using Philips-head screwdriver remove the three screws holding the
coolant reservoir in place
b. Lift coolant reservoir and disconnect electrical sensor on bottom of tank
c. Set the coolant tank aside (you should be able to rest it on the side of the
engine compartment so it's out of your way entirely

7. Remove allen head DP Heat shield bolts from up top (5mm socketed allen / 3/8
drive socket Wrench)

a. There are two 5mm allen head bolts holding the downpipe heat shield in
place
b. Using your 3/8 socket and a long extension with 5mm socketed allen
attachment + your magnetic wand, remove the DP heat shield bolts. Have
the magnetic wand literally on the bolt as it comes out so you don't drop it
into the recesses of the engine bay

8. Put the car on Jackstands. (crack front wheel lugs loose first)

a. In the front of the car there is two very obvious metal plates which you
should use as your jacking point assuming you have a large jack. If you're
using the stock jack you should just use an area to the rear of the stock
jacking point leaving enough room to insert the jackstand. Once you have
the car up on jackstands be sure to push on the car from every angle and
make sure the car is stable !!! Also put your jack in a position where if the
closest jackstand to you should fail, the jack would catch the car.

9. Remove your front wheels (needs no explanation)
10. Remove plastic underbody liner

a. There is four screws spanning across the underside near the front bumper, there is three screws near the rear of the engine bay and finally there is 2 screws in each wheel well. Once you've undone all of these simply pull down and out on the plastic liner and it will slide out.

11. Remove cat back exhaust components (Steps would be dependent upon the
exhaust you have (some wd-40 on the rubber hangers makes it an easier job))
12. Remove drivers side drive-shaft heatshield

a. You'll need your 3/8 socket wrench and probably every extension you
have attach the 6mm socketed allen/hex to the end (may need a swivel
joint as well)
b. Kneel down next to car and face the driver side front brake, you need to
poke the socket all the way in there to get all 3 of the 6mm axle/driveshaft
heatshield bolts off (they are green in color and bolted into the transmission housing directly above the axle) You'll see there is a half circle machined into the heatshield so you can get your socket in there for the top bolt.

13. Remove downpipe heatshield clamp

a. From underneath the car using your 3/8 drive socket wrench plus medium
attachment and 8mm deep socket unscrew the DP heat shield band clamp
until you can slide it off of the heatshield.

14. Remove O2 Sensor

a. Using Q-Tip or your preferred applicator lube the thread / attachment area where the O2 is screwed into the downpipe with Liquid Wrench / PBlaster etc...Give it a few minutes to set in, lightly tapping the area you
applied it to helps it penetrate. 
b. Using preferably a 1/4 drive socket wrench or possibly a long handled 3/8
drive socket wrench (for leverage) and again, likely all of your extensions
with the O2 Sensor Socket attachment
c. You'll want to get at the O2 Sensor by inserting the socket from the
passenger side of the vehicle and underneath the Y-Pipe passing through
all of the various hoses/cables
d. Pull O2 sensor out of Downpipe and secure to firewall with Duct Tape or
a ZipTie (place sensor in a plastic baggy)

15. Remove the top most 17mm DP flange nut

a. ****Here is where the extended 17mm wrench comes into play****
b. Using Q-Tip or your preferred applicator lube the thread / attachment area where the DP bolt is attached to the turbine housing with Liquid Wrench /P-Blaster etc...Give it a few minutes to set in, lightly tapping the area you applied it to helps it penetrate.
c. Using your extended 17mm wrench from above the engine bay remove the upper DP flange bolt and set aside (you may need to use the extended
wrench to break it loose and then use a standard 17mm wrench to get the
bolt off)

16. Remove Secondary O2 sensors from catalytic converters using 22mm wrench

a. You will clearly see the O2 sensors screwed into the flanges on the cats.
Simply disconnect them and put them in a plastic baggie and secure out of
the way.

17. Remove remaining nuts off of driver side downpipe

a. The `extended' 17mm wrench is going to come in handy here
b. From underneath the car get the 17mm wrench on each nut and break it
loose.
c. Facing the driver side brake, from the side of the car using a standard
17mm wrench loose the DP nuts and remove. (You may want to sit under
the car and place the wrench on the nut while a friend reaches in from the
side and loosens it, otherwise just do it all from under the car)

18. Disconnect downpipe support bracket from underbody of car

a. The downpipe support bracket is bolted to a spring loaded joint forward ofthe catalytic converters.
b. Using your 13mm wrench (think it's 13mm need to check) and additional
13mm socket or wrench simply loosen this bolt and set the parts aside.
c. Be careful as once this bolt comes off the downpipe is going to be
completely disconnected from the car and may shift down...support the
downpipe!

19. Remove downpipe

a. Pull back on downpipe to unmount it from the bolts on the turbine housing
(If you're not using new gaskets make sure the existing DP gasket stays on
the turbine housing bolts)
b. Slide the downpipe down while rotating it clockwise and counterclockwise to get it past the transmission mount (this is tricky! Others have removed the transmission mount which may be easier. I'll look into this
later)

20. Passenger Side Instructions

a. To remove the passenger side DP is the same process as described above, only applied to the passenger side. (The passenger side O2 is a lot easier to get to but the DP is a bit tougher to get out)
b. The passenger side DP also has an EGT sensor. The EGT sensor is 17mm and can be removed with a standard wrench. It's quite long so pull it out carefully and secure it somewhere (put in a plastic baggie).

21. Re-Installation is basically the reverse of the removal for both passenger and
driver side.

a. You'll need to decide if you're going to extend the wire of your O2 sensors by adding additional wire in or if you're going to pull the O2 sensor wires back far enough to reach your new secondary O2 sensor locations (see optional components) 
b. Don't forget to put anti-seize compound on

• All O2 sensor threads
• Passenger Side EGT sensor threads
• Turbine Housing Bolts / DP Bolt's