Strictly speaking, this isn't a how-to... I had intended doing one, but honestly it's so easy it seems a bit unnecessary.
I sourced the new lights (extra dark model for the Golf R) from eBay in Germany and paid about £350, incl. shipping. I also bought a set of 4 adapter cables for about £35, because annoyingly the connectors are different. After that it's just a case of unscrewing the stock lights (2 x 3 very accessible screws) and screwing the new ones in.
The 'hard' part was taking the car to the dealer to get the OBC reprogrammed to avoid the error messages, but they did this for me free of charge, as they have had a handful of customer inquiries about the LED lights and wanted to know if it could be done.
They are an expensive item for what you get, but I am hoping to offset some of the cost by selling the stock GTI lights on eBay to a TDI or TSI owner
The code incidentally - as kindly provided by a number of members of this and other GTI forums - is Central electrics / byte 18 / set Hex to 00000100, instead of 00000000
