KEN;
     The t-stats are cheap to replace.  You can test the radiater by using a
garden hose (while you are replacing the t-stat).  The water pump is a
little tougher because if that is the problem, it might just be not properly
bled.
     I am not sure of the setup of the newer VW motors.  If the thermostat
is on the bottom, it might have a big slug of air keeping it from opening
and clearing itself.
     I would first try burping the air out of every single hose, especially
the lines going to the thermostat housing and water pump.
     The same filling and bleeding procedure that works for a WBX might not
work for the I-4.
     Since both heaters and the radiator are cold (I am assuming both heater
valves are open), my money is on an air pocket either by the water pump
and/or the thermostat.

     John