Well, kind of;
You'll need a changer (obviously) and an interface lead and an entirely new off-side boot trim panel, which houses the changer (it sits above the wheel arch).
It's this last bit, plus labour that will push costs up.
A far better bet and one that is getting more and more popular, is to add an iPod (or similar) via a small interface lead. This then acts as your cd changer, but instead of 6-10 discs holding 8-14 hours of music, you'll have thousands of songs lasting literally weeks at your fingertips.
A ball-park cost for the former is about £600 + labour (about 3 hours if Audi do it at £88 per hour!) and the costs for the latter are £100 + labour (about 1 hour) + cost of player (if you don't have one already).
Hope this helps,
Mike