Just thought I would post to say a huge thanks for this guide - I now have fully working cruise control on my 2006 Golf TSI and have managed to clear all warning lights. I didn't need to diagnostic wire - I wasn't sure since it always say pre and post 2006, and my car is 2006 - but can confirm that the 2006 models have the wire.
Couple of tips I had if anyone is stuck:
1. To remove airbag use your phone with forward facing camera so you can see on the screen what you are doing, it makes it much easier to remove the two clips.
2. Make sure you put your steering wheel back on straight - my guide line was inbetween two notches on so I got it wrong the first time.
I did have quite a big problem with the steering warning light. I also had the traction control warning light on, and the "ESP" button near the gearstick was on, saying that traction control was turned off.
My car has the MK60 brakes and I followed the two parts of the guide several times without success, and for some reason my power steering completely stopped working. I eventually went out for a drive (with no power steering), during my journey the power steering just came back on and the ESP warning light disappeared. I stopped in a lay-by and did the steering reset process again and it worked. So if you have problems with the steering warning light, ESP light or no power steering then just keep doing the two steps to reset it and go for a drive, keep repeating and it will work.