JPC's car is probably one of the finest examples of an oil burner you will see in the UK. However, he had a good start in that his car was a GT Sport to start with, which means he already had the GTI style bumpers (albeit with GT sport rather than GTI grills).
If you want to do this on a standard Golf, then you have a couple of choices. The OEM route involves changing the slam panel (the bit that holds the radiator and bonnet lock assembly). You are look around the £800- £1K for parts alone. A couple of people on one of the other forums have done this, and the results speak for themselves. Another option is a replica front end made by Vagen (as you say in you original post). These can be bought for around £300 and contain all the grills, brackets etc to do a full GTI front end conversion. You use the standard slam panel so it really is apparently about £300 all in (less painting of course).
The rear is much simpler. Just a GTI or GT Sport rear back box and a GTI lower bumper assembly. Should be looking at approx £160-180 for the exhaust and about £50 for the lower GTI bumper (all OEM and from a VW dealer).
Side skirts are about £100-£120 for both sides including fitting. There are many how to's spread across a number of forums of people who have done exactly what you are after. With care (and money), you could end up with something like JPC's motor
