As long as it's a pre-face-lift A4, then yes, no trouble at all. If it's a later model with the newer type 3-spoke wheel (where the airbag mimics the grille shape) then it will physically fit, but the airbag system will need to be modified to work with the A2s single stage airbag control system.
As far as MFSW goes, you'll need the control box (looks like a big relay), the connector plates, extra wiring and possibly a new slip-ring module to pass the MFSW signals to the control module.
If it's the later system, using thumb rollers, don't even think about it - I haven't figured it out yet!
Cheers,
Mike