I have a 1997 A4, and a couple of the dash lights were out, so I went to the dealer and bought some bulbs, WITH the socket. It's really important you get the ones with the socket, because you can't just replace the bulb. [At least I couldn't figure out how to do it]
Anyways, you'll need
torx screw driver [T20]
DISCLAIMER : My Audi is a B5 and is one of the pre-face lift models. If you have a later B5 your dash won't look like mine, and this instructable is less likely to help you, however, it is probably more or less the same, so give it a shot! Worst case you simply put your dash back in.
Step 1: Taking wheel cover off
Pull your lever under you wheel down so you can pull the wheel towards you and down. There's a little plastic piece you can just pull up and off, then pull back the wheel cover. You'll expose 2 screws. Use your torx screw driver to get them out.
Step 2: Pull dash out
Mine came out pretty easy. There's technically 5 different things you need to unplug maybe only 4. The person who had my car before did something funky with one of the bulbs. If you look in the picture it's got blue tape on it...no idea where that things go. Anyways, unplug everything, including the place where the temperature is and such. It's a tight squeeze, and semi a pain in the butt, so your flat head screw driver is kinda handy at this point. Some of them are really hard to reach, if you have "working on the car" gloves go ahead and wear them, unless you feel silly. I had little scratches on my hands cause I didn't wear mine.