It's definitely easier to pay for someone to do it, but if you're prepared for a fairly vertical learning curve, these few threads are a good place to start -
http://nefariousmotorsports.com/forum/index.php?topic=5525.0title=http://nefariousmotorsports.com/forum/index.php?topic=5418.0title=http://nefariousmotorsports.com/forum/index.php?topic=5941.0title=I recommend cloning your ECU and leaving the original stock as insurance - it makes the whole flashing exercise fairly stress free if you can just swap a stock ecu back in if you brick one. You'll need a BDM100 reader and frame to do a full read and flash of your ECU and the clone.
I'm probably on the overly cautious side but it's taken me about 6 months, including setbacks and dead ends (mostly around the Immobilizer in my case), to get to a point where I'm comfortable with my level of knowledge, have a cloned ecu in the car and modifying maps.
With the DSG, as far as my car goes (I can't speak for yours) I can go so far without having to make any changes to it, which I am very reluctant to touch with a china clone - I can buy another ECU for $100, but no such luxury with a mechatronic, so I'll probably leave that to the pro's.