I agree with both previous replies... plus, go for the cheapest option first, which is the engine oil cooler anyway.
If it's the same as an Audi TT (my girlfriends) then it's attached to the oil filter housing. Her's also got mayo/oil in the coolant which first appeared in the expansion tank following a timing belt and water pump change. Reading on various VWAG forums suggested it wasn't unusual for this to happen after having the water pump changed but it seemed odd to me. Maybe the old water pump was inefficient and the new one had better pressure and caused anything close to failure to fail?
Anyways, I picked up a OEM oil cooler (she doesn't have DSG so one less thing to worry about) as dismantling the car, testing a part, ordering a part, waiting for it to arrive didn't seem like a good use of time. I then fitted it and flushed out the coolant system, replaced the oil and all has been good since. I never did test the old cooler, but seems to have been the culprit in my case. When you're pretty sure it's fixed you'll want to have the expansion tank off to give it a good clean, or order a new one, as the flush won't get the residue out of there.
In the back of my mind before and during the work was that it may be the head gasket, but as others say, these engines (Apart from the early BDK Diesels) are pretty much bullet proof when it comes to head/gasket issues and her's is the same engine they use for the 225 TT but is only running at 150, so I was fairly confident it wasn't that.
TLDR: It was the engine oil cooler and fixed for about £40 parts if I remember correctly.
Good luck
Stu