First remove the trim around the radio. There are loads of videos on this so check out YouTube if you get stuck. I used screwdriver with a cloth around it to protect the trim.
It's just held in by clips and will come off easily, be careful that you don't snap the top part as it's thinner plastic and can break.
Next you need to remove the trim around the heater controls, again it's just a case of some plastic clips, just pull it off. They have strong clips but they are unlikely to break.
I forgot to take an image of the heater controls once the panel above was taken off, my bad

But again they literally are just held in by some clips and using your hands you can pull them off. All three come off as one piece. (This is what you'll want to get from the breaker yard, all three dials like this.)
Here is a close up of the heater controls. All the illumination and stuff is not built into the dials themselves but the dashboard hence this is such an easy mod. Also VW were kind enough to make it impossible to mess up the location of the dials as they have mounting points. So you don't need to worry about your new dials not lining up properly (If that makes sense)
Here is the back of the heater control dials. As you can see they have mounting points that go into the dashboard and won't let you misalign them when you're refitting them. You'll hear a click once they have gone in properly.
Installation of the new ones is just the reverse of the removal. They are exactly the same, just with chrome trim.
Some tips:
Remember where the heater controls were aligned. Although it is impossible to misalign them it can be a bit tricky to get them to fit properly if you can't remember their last positions.
You can try to reinstall it as one piece like this, however if you find it hard trying to align the dials then you can disassemble it.
All of these clear plastic pieces will come off (use a trim removal tool or screwdriver) they can then be installed and you will find it easier to align the dials. you will then need to reassemble it on the dashboard (Which is how I did it).
I think I may have made it look more complicated than it really is. Once you're doing it, it will make complete sense and there really isn't a way for you to mess it up. Definitely makes a noticeable difference over the standard black ones on the Polo S