Firstly, I'd allow a good 5 hours to carry this out, even if it may take you only 2 in the end. You don't want to start it at last minute, not finish and need the car the next day.
Instructions should be included with the kit, however they are black and white and the pictures are hard to see. A link to an online version is shown below, with colour pictures that are slightly easier to see. Note that these are the 2001 instructions which include an E-Clip. This has been replaced with a pin that you use to attach the pivot rod, called a "hairpin cotter" pin, and should be in the 2003 instructions supplied.
2001 Instructions: http://www.bmracing.com/media/products/pdf/78.pdf
Here are a few close-up shots of the bits supplied:
Centre console removal
You need to remove the centre console to gain access. This involves removing other bits of trim, mainly underneath the drivers steering column and around the climatronic area. A Haynes manual is useful and tells you what to remove:
However, if you don't have a Haynes manual, then basically all you need to do is remove a lot of torque screws. First remove the small panel underneath the steering column itself. Note screws 1 and 3 and quite difficult to access (I had to drill out screw 3 because it was so stiff, damaging the plastic in the process) so be patient:
Unfortunately I don't have any more pics of the other bits but if you want them just ask! After that step you need to remove a small piece of plastic directly underneath your headlamp/foglamp switch at the top of the storage compartment. From then on you need to locate all the torque screws holding in the lower driver side trim - in other words the lower half od the dashboard on the drivers side, including a lower panel at the footwell. I'd use a torch as there are more screws to undo than the Haynes manual had suggested. It should look like this:
Once that is done you need to open the glovebox, unclip the coin holder by pushing it down, remove the plastic surround from the climatronic and remove the plastic screw covers that are on both sides of the heated seat/rear screen/esp etc switches. Once you have done this you should see every screw holding in the centre console. You need to undo these, including once next the the glovebox hinge. The Climatronic unit can be unscrewed also by undoing the screws at the top and at the bottom (no need for in between).
Finally comes a tricky part. There are two gold screws holding in the ashtray. These have to be removed before the console can be freed. My advise here is be patient, and make sure you put something over the hole where the gear lever is, to save you dropping screws! After this the centre console can be moved out of place, then it's a case of following the fitting instructions.
Tips on the actual short shifter
When taking apart the original shifter, make a note of where any springs, washers and bolts etc may go. You WILL have trouble actually removing the original shifter, as part of it catches on a metal plate when pulling out a pivot rod. This is another of the parts that will try your patience and strength! Don't force the rod too hard or you may damage it.
A picture of the finished article is shown below:
In the picture below, the clip to hold the gear lever in place is circled in red:
This failed on me so I had to go down to VAG and order a new one. It's recommended to replace it as the old one won't hold it securely enough, and if the gearbox plays up, you will have to take all the trim apart again.
Secondly there is the hairpin cotter pin, circled in red below:
Make sure this is secure as mine also fell out. I bent it slightly and now it is fine.
A few more close-ups are shown below. It's worth printing these for reference when doing it, just to get a rough idea if everything is in the right place:
Finally there is the gear knob itself. It won't screw on, therefore you will need to replace the gold washer already on it, with a hose clip. Tighten as much as possible and it should be rock solid
I hope that gives a few pointers. Any more questions feel free to ask
