I would take this all with a grain of salt. If I didn't know any better I would be replacing an engine based on the advise given here.
You can not just hop into a car at -30 start it up and drive off. Over a small period of time (weeks-month) you will end up with engine damage, transmission damage or power steering.
As far as not needing to cool it down?? Well I guess all the people out there that make turbo timers and alarm manufacturers that build in turbo timer by passes do it for kicks. The fan running only cools the coolant in the radiator. Eventually the system will cool down from the rad being cooled but this doesn't do anything for the oil that is baking in your turbo. A fan running isn't circulating your anti freeze so it's not valid to think it's going to cool your turbo to quick.
Now the proper thing to do is judge your own situation accordingly. There are no do this do that hard and fast rules. If you are in a mild climate then no, start your car up, give at least 30 seconds to a minute to circulate the oil before driving off. Take it easy for the firs 3 miles and the car should be all ready to go.
If you are in a colder climate, consider a battery heater and either an inline coolant heater or an oil pan heater. This will help you follow the regular starting pattern a bit closer. Give your vehicle a couple of minutes to get the fluids moving but don't let it go much longer.
There are a number of reasons idling your vehicle is bad for it, one is carbon build up. The more serious though is condensation building in the engine. It's not uncommon at all up here to see a truck with a fried motor due to water buildup in the oil pan. What happens is during idling condensation builds up in the oil pan, when the engine shuts down some of that water can find it's way into the oil pump and freeze, there by disabling the oil pump on your next start. It's very unlikely this would happen to your Audi but I have seen it happen. In fact I paid 10K to have new motor put into one of our work trucks last winter because of this. I have to use trucks for comparison because there are not many cars up here and I have the only Audi.
Another hint, NEVER leave your wheels turned when parked in cold weather. What happens is the fluid gets cold and thick, when you start the car if your wheels are turned the pump immediately goes to work trying to move that thick oil and can burst a line. Happens all the time up here. Always make sure your wheels are straight when you park where possible.
Now for the cooling down. Once again every situation is different, no hard or fast rules. If you are out for a leisure drive and get home, no you don't have to cool it down. If you are out winding the car up and pushing her for a while and come to a stop, yes you should let it run for a bit. If your car is flashed and your running a program even more so. The heat issue comes mostly from the turbo not the engine. If you do a search I sure you can find some pictures on the net of turbos glowing red at night from being worked hard. If you just shut your car off after working the turbo hard all the oil around the turbo could bake. It can also cause deposits to build up and eventually cause turbo failure. I haven't seen the turbo on the new A4 yet but I know that a turbo can be liquid and oil cooled like the one I had retro fitted to my 240sx back int he day. These take a little less beating but still not good. So if your out canyon carving and come up to a parking lot.. Let the car run for 2 minutes to allow the turbo to cool. If your running out to grab some beer and chips for the game, then don't worry about it.
Remember every situation is different and even the manufacturer can't predict them all. They told me I didn't need anything with my Audi in the Arctic. Everyone in the Arctic laughed at me when I said that. And they were right. No car can run properly in extreme cold for long durations without proper prep.
So use common sense and try and think about whats going on under your hood.
Some of this is fact some experience so take it leave it or whatever