Any place that stocks autoleads parts will have them (eg, cambridge car audio). They're essential for any aftermarket install in a VW/Audi, so they're pretty common.

I think I saw them on sale in halfords - on the racks of blister packs. You're looking for a 3"-ish silver cylinder with an antenna socket on one end, and two flying leads (one antenna plug, one blue wire) on the other end.

Hugo