I just did this today on my 09 TDI, bought 3/4 inch insulation from Home Depot for $1.34, picked up 4 for a grand total of $5.36. No need to buy the more expensive insulation with pre-cut slits (lengthwise) and adhesive, just buy the cheaper kind. I only used less than 2 of the 6 foot insulation and will use the extra insulation just in case I lose the installed ones. Just a tip....(for lower grill) measure the vertical slits using the insulation and cut a little past the halfway point. After doing this on all the vertical slits, test on the grill to make sure it fits. Remove and use this as a guide for the 3 remaining grills. All the vertical slits lined up at the same location, all you need to do is trim the ends of each insulation as the length slightly shortens as you go down. You can also do this for the top grill, you just need to flip the insulation so the slits line up. It seems the deeper you cut slits without completely tearing it off the better it fits, you push the insulation in better and looks better (no bulges).
Total time: Less than an hour (I was miticulous with the cutting)
I haven't tested it yet, I'll find out tomorrow when I go to work and I will let you guys know if I notice a difference.
Good luck to those thinking of doing this in the future.