First you need to get rid of the relay... it's useless and there is no way to get rid of the bulb out warning without somehow getting a dummy bulb with a resistor into the empty plug.
So far the ones that seem to be having the most success are the Retro Solution digital ballasts and the VVMI kits. But they are not completely immune to blowing out the motors. You will need to place the 'canbus adapter' or 'warning canceller' or whatever they call it just before the ballasts. I believe the theory is that they are supposed to minimize power spikes through the harness. Than you will need to reprogram the the lights via vagcom. you have to find a setting in the long coding to go from halogen lights to halogen high and xenon low. Just don't change it to bi-xenon... I don't know what it would do but I don't think either of us really wants to find out. Last but not least, do not EVER turn on the wipers while the HID's are warming up. I think that is the critical time where the power spikes may occur and it's best not to tempt fate and wait till the lights are up to full power and going before running the wipers.
That is pretty much how most of us have got the lights working I think. If I missed anything or screwed up somewhere than feel free to correct me.