First try realigning your gear linkage before anything else - go to youtube and search "dieselegeek Golf gear linkage adjustment"
Next try changing the fluid.
Pudding replaced his box recently for a Mk6 one, it seems excellent value, better ratios and good upgrade in gear shift too -if you go down this road budget for new clutch too
By all accounts, converting to DSG is easier to buy a Gti that came with DSG - its not just the box and flappy paddle wheel- its integrated into engine management, you will need donor ECU, looms, coding, etc.