Do the mods first. As for tuning modern VW's I just know about the pro's.
I would agree with the last post, but i dunno about the mapping, i kno these honda guys that in some fashion upgrade chips on their hondas but it's really apples to oranges. If you are tight on money tho... exhaust and intake may be a long way off and the chip is usually the most bang for the buck. I can't afford any of the above so i would do chip first, but the previous poster is right do it once do it right.