Gear changing is a pretty personal thing, you'll probably get a bazillion different answers :). Compounded by the variety of DSG models, driving styles and numerous little variations of S4 along the way. By way of background my history is mostly manual shift, S4 DSG is the first autobox I could not only live with but actively enjoy.
I had a 2012 S4 DSG for 3 years, no mods, no doubt that D wanted to head for 7th asap, no doubt for Audi to achieve stated economy figures. 7th gear is effectively an over drive. However even stock the 3.0T is not exactly short of torque, and drops down readily enough, that I never found it much of an issue. I've never met an automatic that is 100% psychic so I don't mind giving it a hint occasionally with the paddles or whatever.
Currently on a '15 DSG with APR Stg2 and TCU, after a while at stock. The stock DSG to my mind was that little closer to psychic in S. With TCU mod (amongst other benefits) it is veering on brutal in S. This is a good thing in a Jekyll and Hyde car :)
I'll use all the modes depending on circumstances, personally I enjoy "directing" the car to achieve what I want. For example, there is a single track, ~20% gradient switchback with blind corners on the back road to home. I drop it to S so I have the torque I want for control even thought I am not (usually *cough*) trying to blast up the road.
If I am on a down gradient and need to control the speed, I might kick down a gear or two with M for some engine braking. Just as I would in a manual. I appreciate the fact that the Audi engineers have programmed the DSG to notice this, stay in M and not drop back to D too quickly.
As a tip for those not aware, if you have active cruise control you can use it in S, car will effectively drive in D when you are off the throttle following trafficv, but has S gear map when you come back on for overtakes. Nice.
So all I'm really saying is get to love the quirks and foibles of your particular car. Wax on, wax off.
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