The coolant temp sensor is a little dug in there on the BEW NB with a DSG. It isn't as easy to access as some other cars.
After you get the engine top cover off, you'll need to completely remove the air cleaner assembly.
Then locate the flange on the end of the cylinder head, and the sensor is in that on the back side, down low, held in with a little clip. Often it is easier to remove the clip and pull the sensor out while still plugged in, then unplug it once it is out. The connector release must be tricky, because people break them a lot it seems. If you have a small screwdriver, you can more easily get it released once the sensor is loose. Be sure to get the old o-ring out, too, as it is usually stuck in the flange.