I bought into the "key replacement" program, when I leased my '13 Passat. I just replaced one key last week, they charged me about $177 or so incl. tax, just for the key, then $100 to program it! I have bought replacement keys for my previous 2012 Tiguan, and only got charged $50 to program 2 new keys, the fee to program the key is dealer dependent.
But when I called to get reimbursed for the key, the lady said, "oh, they're charging a bit much for the key". I was not expecting that answer, I just thought whatever I paid, is what I'll get reimbursed for. But anyways, I paid about $277 for everything, I think she said she'll reimburse for about $235. I actually made money, lol, as I only paid $199 to buy into the key replacement. AND I get to replace any lost/broken key anytime for the remainder of the lease, of which there is a yearly reimbursment limit of $800.
But to answer your question, dealer is the best way. They'll need your VIN and the key will get cut elsewhere, for me it was cut in NJ, then mailed to the dealer.