Diagram attached this time in case the link above goes dead...
There were a couple of tricks I learned from this repair. First, you need to remove the steering wheel, a few trim pieces the cluster bezel and the instrument cluster. You will need to remove the trim at the at the end of the dash on the drivers door. Then trim pieces on either side of the steering wheel have to come off. These are the ones with the headlight switch and the ignition key hole. I'd reccomend studying the diagrams or a procedure to remove these parts since many of them are fragile.
Next, you need to drill out the sheared bolts on the cylinder housing and use easy outs to back the screws out. This is actually easier than it sounds. You then need use your key to remove the cylinder housing from the steering column. If you don't, you may battle the lock pin as it gets stuck on the column. If you have a tiptronic, there is also a cable that unthreads and slides out with the key in the "on" position. This cable keeps your car locked in park when the key is in the off position.
Study the new cylinder and you will see the spring clip that needs to be compressed. To get to the old one, you have to drill an 1/8" hole at the cross 18.5 mm in from the end and 10mm from the large ridge as shown in the attached diagram. It's easy to drill straight too far through the spring, so it may be best to start a little hole and work up the 1/8". Once the hole is drilled, you have to use a little awl or jewler's screw driver to push the spring clip in. I had better luck just bashing it with the awl and then lightly tapping the shaft with a hammer. You will need to wiggle the key around and it should slide right out. It's still a PITA to get out, but ahhh...it's nice to have a decent cylinder lock again.
Pic attached