Hey man, I work as an installer at Circuit City. A good way to do what you are talkin about is buyin what is called an FM modulator. If you have a CC in town just go back to car audio and ask for one and they'll know what it is. I installed one in a jeep the other day and we just charded like 20 dollars. Its not too hard though. If you have any more Q's just reply, ill keep lookin at this subject.
FM modulator isn't really the best way to go. I found this thread on vwvortex months ago when i got my GTI and it worked perfectly for me. It runs through the CD changer hookup in the back. If you have specific questions let me know but i'm pretty sure this thread should clear it up for you. http://forums.vwvortex.com/zerothread?id=509131
Volkswagens cassette deck have the plug in protection, so you cant run a device through them, like a cd player or mp3 or whatever. It just comes out static, and I was told it can damage the tape player.
There is a wiring harness you can get that plugs into your CDchanger port of the monsoon radio that will have RCA inputs instead of the plug harness. I can't remember where to buy it at this time but it's perfect for what you want to do. The FMmod device will do nothing but give you an unclear staticy source that in the long run is bad for your speakers.