I'm in the same boat, mate. Got my GTI steering wheel but not fitted yet. Here's all the necessary steps as far as I can work out:
1. You need to turn the steering wheel (in your car) 90 degrees left and un-hook the clip at the back that holds on the airbag.
2. Then turn the steering wheel right 180 degrees and un-hook the other clip.
You should see where these two (exposed) metal tabs are for the airbag to latch onto on your yet-to-be-fitted steering wheel.
You will probably need a stubby but not too chunky flat screw driver to get into it.
4. Once you have the airbag unclipped, return the steering wheel to straight/centre/forward then disconnect the battery so nothing explodes when you unplug the airbag from the steering wheel. I think this also prevents any airbag warning lights coming on.
5. The nut in the centre is a spline M12 not a Torx bolt. You can get M12 Spline Sockets from ebay for fairly cheap.
6. As I haven't actually carried any of this out yet, I guess the next step will be to undo the bolt, and mark up the top of the spline shaft so you can align up your next steering wheel. I don't know if it is possible to put the steering wheel on squint or if there is a master spline so it can only go on one way.
7. once you have the new steering wheel on, put the central bolt back on and torque to 50NM (so I'm told), plug back in the airbag and clip it back in place.
8. Re-connect your battery or you won't get anywhere fast.
This is all info I've gathered on forums, etc and not advise given from experience. Let me know how you get on. Cheers