Do yourself a favor and buy the oxy sensor with the connector's and the
wires attached.
It will cost one heck of a lot more , but in the long run you'll be one
happier man.
The splicing isn't the way to go.
It's opening a door to possible poor connections, corroded connections
etc.
I've done it both ways.
The factory issue sensor lasts a bunch longer without any possible
complications.
This is one PITA job with a more than likely frozen in the pipe sensor.
You only want to do it once.
If you want cheap, go for the BD, Napa or whoever cut and splice
treatment.
Prepare for a return run on the job in a short period of time.
But it from VW, and your done for another 100k.

RC