OK, well on saturday I did a journey I'm familiar with and hence my report that it heated up in half the time it did prior to changing the thermostat, I should have take into account that it was a tropical 11 deg C. Today, at 5 deg C it was back to 'normal' - ie I'm not convinced changing the thermostat did any good ...
I did a search on Audi's 2.0T heating up time and it seems a good few of them have similar complaints in that it takes a long time to come up to temp in cold weather compared to most other cars. Must just be a thermally efficient engine.
I know ED30 / Pirelli owners seem to have no complaints here. These cars do have a different thermostat which might explain it or maybe its just the bigger turbo throwing more heat into the system - not sure.
It might even be that the AXX engines have some quirk which make them take longer to heat up vs the newer design. The AXX was the last of the true 'lean burn' engines so it might be related to this. Somehow - just making stuff up now