Hi Tim,
I spent a considerable amount of time investigating this option a few years ago. It's doable ...sort of.
The heated steering wheel is indeed activated in conjunction with the driver's heated seat.
Most definitely! In order to keep weight to a minimum, each and every A2 had its wiring loom custom made, meaning that there is no wiring present for any optional extras beyond those that were specified by the original purchaser of the car. As such, in order to retrofit anything, additional wiring looms are always needed. The only exception to this rule is heated mirrors, for which the wiring is present in all A2s. Given that a heated steering wheel was never an option that could be specified on the A2, the electrical infrastructure for this option would have to be designed/fabricated from scratch.
Whilst I have done this design in my head, and I know I could get it to work, the next problem is, for my A2 at least, a deal-breaker. The A2's heated seat regulators do not have the necessary connections to also run a heated steering wheel. As such, regulators with greater functionality need to be used from another Audi ...and they don't fit in the A2's centre console receptacles. They're the wrong size, the wrong shape, the wrong orientation, etc. I'm too much of an aesthete to cope with anything on-show that's not seamlessly integrated. There's no way of doing this retrofit without having custom bracketry or glued-on bits of plastic on display.
Even if this isn't a problem for you, the costs might be. As you look into the project in greater detail, you realise that the number of parts needed to complete the upgrade is a lot more than just what meets the eye. Of course, I'm happy to do the retrofit for anyone who's keen, but there's always the issue of how to mount a non-standard regulator in a way that's not too offensive.
Cheers,
Tom