A company called Connects2 out of the UK makes both a steering wheel adapter for your car and the wiring harness for an aftermarket radio that gives out all needed info for a Pioneer F-series (Reverse Signal/Speed Pulse
Illumination/Ignition).
These adapters are specially made with a chip inside the wiring adapter that interfaces with the CAN BUS to retrieve and send all the info to and fro the controls. These are also specifically for the A3 '03+, the A4 '05+, and the TT '06+.
The only thing you need to know is whether or not the connector on the back of your radio is a standard iso connector or a 40 pin FAKRA connector.
This is the FAKRA (Same as mine)

And this the ISO variant.

Just look at the back of the stock radio to be sure. Chances are that it will be a FAKRA connector.
So, you will need:
a) One of these: http://www.connects2.com/c2search.aspx?catID=66&manID=202&modID=562
That will make it 1000x easier to interface the whole unit into your dash, with NO splicing, etc of factory wiring.
One of these:
http://www.connects2.com/c2search.aspx?catID=24&manID=202&modID=562
Ignore the first one, that only fits up to a 2004 A4.
These are the steering wheel adapters. They have a small white or black plug (Depending on connector type) that will pop into the big FAKRA/ISO connector and work your steering wheel controls. The other end of this adapter is the small industry standard mini-jack that will plug into the back of the Pioneer for steering wheel controls.
Ok, so once you have figured out which type of plug you have, where to get the stuff?
You will have to go to a place called Incarexpress.co.uk. There are no places that really sell this kind of UK made stuff in the US. However, this place will send one out to you and they are very fair with shipping, etc. Though, use their website to find the parts you need, but you will not be able to use their online ordering system as it is not set up for US shipping or addresses.
Instead, you will need to email [email protected]. The guy that answers the emails is Ged. Give him the links to the products you want along with your Name, address, etc and he will give you back a shipped price. I paid using Google accounts, which worked very well and fast. Once you agree on the price and send payment, he will send you a ticket number, user name and password for the main site so that you can check on the order. Took about a week to get here from Belgium.
Steering adapters:
http://incarexpress.co.uk/catsearch.php?cat=Installation+Parts&subcat=Remote+Adaptors&fitment=Audi&limit=10'>http://incarexpress.co.uk/catsearch.php?cat=Installation+Parts&subcat=Remote+Adaptors&fitment=Audi&limit=10
Harness adapters:
Search for "CTAADCAN00" to bring up both types of harness adapters for your car.
http://incarexpress.co.uk/catsearch.php
Hope this helps.