Cost will depend on how you do it ... if you go "new" then its a serious investment - Steering controller is about £150, Airbag loom is some £40 while the steering wheel price depends on which one you choose.
I have upgraded mine done with a eBay Mk5 MSFW DSG wheel and it was £330 all in - just don't tell SWMBO!
... but be warned not all the functions will work so think about the MSFW as part of a system not in isolation. (sorry if that's stating the obvious!)