Two choices, one more difficult than the other.
1) Back of fusebox, find a keyed accessory.
2)Not as much fun.
1)take off the steering column shroud. 3 T25, 4 smaller phillips
2)Locate the ignition harness. Small brown/red stripe. This wire is the keyed accessory that stays on after key is turned off and until key is removed from ignition. This is the one I go after when I do decks in 2003/2004 VW products at my place of work. Maintains the exact same behaviour as the factory radio. Make sure you fuse the lead to the radio with a 7.5A (or whatever your aftermarket stereo draws on the accessory wire) fuse to protect the vehicle. (hey never know... something could pinch, rub, or chafe it)
Gus