To start, if you are only going to a stage 1 tune, these upgrades are not necessary.
Here is my list of recommended upgrades that will drastically improve your smiles per gallon! First off is changing out the faulty ignition system that the B7’s have factory. Most B7 owners know to keep a spare coil pack in their trunk for emergencies. These cars can have a coil pack fail at any moment leaving you stranded. The best upgrade for this is to change over to R8 coils (Red Tops). The R8 coils are able to deliver a more reliable spark with extra durability to withstand abuse. Replacement Redtops can be found for $200-300 on any European car site.
The next part I highly recommend purchasing is a Go Fast Bits DV+. This kit replaces the faulty stock Diverter valve that Audi tried to fix 4-5 times. The kit replaces the diverter mechanism with a metal piston which can within stand 50 psi of boost. The DV+ has a small hole on the piston allowing more pressure keeping the valve shut than open. The added benefit to the DV+ is the valve will only open as much as it needs to relieve boost pressure. Allowing you to get back into boost faster than the stock valve.