I've been running an exhaust cutout for a good 2 years now. The DMH one is good, and I run the QTP one which is about the same thing.
True, only have it open when the car is running, and don't leave it open after you turn the car off.
My biggest piece of advice, is to lubricate all moving parts on an exhaust cutout before you install it. They are not greased or oiled at all, and they will seize over time if you get snow in your state. Ask me how I know
http://www.audizine.com/forum/showthread.php?t=229541 (see post 3)
It will not void your warranty at all.
It is very illegal to drive around with it open. Be careful if you want to... it's fun, because the police don't expect it to be coming from a nice A4 hahaha
I don't suggest operating it when it's cold outside. I leave everyone installed through the winter, but I don't touch my switch unless it's warm enough outside.
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