I cleaned the pins up with a toothbrush and WD40, used a punch with a hollow end to get the pins moving, and then tapped them through with a length of thin steel rod. They are notorious for sticking in place. Fitting kit (consisting of 4 pins and 2 anti rattle springs) was about £50 (bargain!) from Dave at Sere Motors. Some people have got them direct from AP dealers; I think they are something like £2 each. Have a look on the MK4 FAQ section; there is a good thread on there with all the part numbers etc.
The 2 metal tubes across the front of the caliper also normally come off to change the pads. In my case one bolt was seized to the inside of the tube. Rather than cut it out I just took the caliper off and fitted the pads from the back rather than the front.