Yes, you need to bleed the air out of the lines - you can do this by using VCDS to command the fuel pumps to run.
Put a catch pan under the truck because you will spill some fuel. At the top rear of the fuel filter assembly you'll see a smaller piece with 2 lines attached to it. Remove this piece. You can then remove the top to the whole filter assembly and change the filters. Use a suction device to remove all the fuel from the housing once you have the top off, this will reduce the mess.
Wipe the housing out with a lint free cloth once you get the old filters out.