I did exactly the same except I bought TPM sensors from Tirerack.com for $314 including shipping. Call Eric at ext. 319. It took 2 days from ordering to delivery.
My VW dealer installed them on the 19" Cayenne wheels, balanced and mounted them for $110, (a very nice price compared to various tire places that I called). I first was going to just forget the TPM's with the 19" set, but found out that you will get that warning all the time unless you pull the fuse for the MPI. This means that you have no MPI period.
A few things to watch out for:
1. If you have more then 4 sensors around the car, your TPM system will go into fault mode. To prevent this,TURN YOUR TPM OFF from when you put the tirerack sensors inside your car to after you have unloaded your old wheels and moved them away from your car. In my case that dealer could not fix the fault and had to install a new TPM module.
2. Download the installation instructions for the 4 sensors from the beru.com web site. Your dealer may not have experience in doing this.
3. After installing and unloading the old wheels, re-callibrate the TPM to match the correct tire pressure. For normal loads it would be 39 psi front and 44 psi rear. If you do not know how, search in this web site.