When it comes to the B7 platform, there are various manufacturers that make an aftermarket cold air intake. However, depending on the horsepower you are looking to make, you may not need one.
According to other blogs and just all around research, the stock intake can support around 300 horsepower. Given that most Stage 1 tunes keep you 30-50 horsepower under that mark, they are really not necessary. But once you break into the stage 2 threshold and start making more than 300 horsepower, you will need to upgrade.
Here is the only perk of having a cold air intake under the 300 horsepower; the induction noise. The car makes an amazing sound under boost with the correct supporting mods. Now, most cold air intakes will run you anywhere from $300-500 dollars. So it could possibly be skipped if budget is a concern.