Right, I thought I would post my findings as I've just done the MFSW swap on my GT TDI.
Firstly, It seems that all 2005+ cars with at least the midline dash, comes with the correct slip ring so this will NOT need to be changed. If the steering wheel is being swapped without going for additional button flexibility then there is NO coding required in VCDS, just swap and drive.
If like me however, you didn't have a MFSW but are replacing the wheel with a new style one with the buttons that you want to get working, then you will deffo need a new steering wheel control module. My original module was 1K0 953 549F, which most midline cars without MFSW are supplied with. This module is not compatible with the new buttons on the wheel.
I had to change my module for the newer 1K0 953 549 AL module (at apporx £130.00) and also change to the MFSW wiring harness (that connects the airbag to the wheel - part no 1K0 971 584 C - approx £30.00). Ater a little recoding using VCDS, the MFSW works perfectly. I have volume and mute on the left side (with a currently not working phone button as I don't yet have a bluetooth kit). On the right side the buttons cycle through the MFD display on the dash etc.
One word of warning though. My car had cruise control as standard, and since fitted the new wheel it doesn't work. I have been told that it's because the AL steering control module was designed for the Highline display not midline, and that I should have used another. As I'm about to have the Hiline fitted in Feb this year, I'll live without CC for the time being and see if this brings it back on line. In the meantime, If you have CC and a midline dash, I wold suggest getting the assistance of a stealer in selecting the correct module, as at least if they get it wrong you can take it back and get them to swp it for another unit.
Hope this helps but any questions feel free to ask.
Oh, BTW many thanks to SUKH, CJ_TDI (over at UK-MKIVS) and the.ronin (over at VWVortex) for their write ups and being amongst the first brave souls to attempt this and give me some help along the way.