Hi T-man, first lest me tell you that yours dealer is a dumb ass, removing
the exhaust!
The parts are about 6$ Canadian each, they took 48 hours to order!!!
(Available at the main VW warehouse in Toronto, I am in Montreal)

The easiest way to do this job (I just did one last week) is to remove the
water pump and-or the big metal cooling bypass black tube between the water
pump and the thermostat), carefully look at all my pictures and after you
can decide which way you want to do the job, longer to do this way but
easier, at the same time you should change this one (60$). Check my site
for a step-by-step procedure at:
http://www3.sympatico.ca/huotx/water_pump.htm

The hard way is to remove the oil cooler only, to do so:
(Look at my hoses chart to know which hose or tube I am talking about at:
http://pages.infinit.net/engine/cooling_system_hoses.htm

First, unplug the upper long oil cooler tube (Q) from the small flexible
hose joiner (P), block the "P" & "Z" tube with a screw so you don't loose
too much coolant. Do the same with (Y) and (Z), coolant will stop flowing
(you won't loose much). You will also have to make sure that both "hard
metal tube" (Q & Y) are loose and the screws that hole them there are
remove. Drain oil, remove oil filter. Now the hard part; you will have to
remove the 2 collar that hold both hoses to the oil cooler or try to remove
the oil cooler with "Q" & "Y" still attach to this one(have fun, but no so
hard), remove oil cooler slowly  by twisting the 2 small hoses with any
kind of pliers, they will be stuck!! When loose, simply unscrew the oil
cooler and change the oil cooler O-Ring seal (the seal is a known problem,
VW did a recall on those one many years ago, again, check my site for all
info and picture on this one at:
http://www3.sympatico.ca/huotx/oil_cooler.htm

Without removing the big metal cooling bypass black tube, you will have a
harder time reaching the 2 collar that hold the tubes to the oil cooler but
it is feasible.

When putting back all parts you won't have to bleed the system, maybe just
a bit by opening the bleeder on the thermostat for a few second.

If you need more info or picture please ask, it's free (he he he)

Hope that help my friend, Regards, Ben
http://www3.sympatico.ca/huotx/engine1.htm