According to the manual (p44) it's in car > left button > vehicle settings > central locking. I haven't enabled it on mine, just assumed because it's in the manual it would work. I just checked and it does say in a note at the bottom "this feature is not available on all export versions" so maybe it isn't enabled in the U.K. menu and would need VCDS to enable it here. Will check next time I'm in the car and see if I can find it on mine!
As an aside, make sure you don't re-press the lock button within 2 seconds as that disables part of the alarm system so the vehicle isn't fully protected. I was really in the habit of pressing the button a couple of times on my B7, have had to really force myself to get out of the habit!