Dude, no brainer. Also I would recommend downpipes also, I know people say that...
 

downpipes lead to turbo overspinning yady yady yad, but the european models don't have the pre-cats and they use the same turbo and seem to have less blown turbos that over here across the pond.

If I could have done it all over again I would have kept it stock with better intercoolers, downpipes and exhaust with stock chip. Hell, maybe even an oil cooler and drive that for a while and enjoy listening to audi claim that those mods caused turbo damage.