As above, it really is quite a simple job. Hardest thing on mine was finding somewhere to secure the ballasts, as they aren't the slimline ones.
One thing that's important to do, and assuming that your headlights are already aligned properly, is to park it opposite a wall or something whilst you do the work if you can (there isn't a wall at the end of my drive, so I used two wheelie bins instead!) and draw a chalk line showing the existing beam pattern. When you've got your HID's in, realign them to those marks and you should be good to go.
It makes so much difference, the halogens really are a bit dire on the A4 B6, as they were on my old A3 8L in all honesty!