Before you start you need two new parts costing a dollar each!
The tricky bit is the metal ball on the light unit that plugs into a a plastic socket fitted in a steel bracket in the bodywork.
The original plastic sockets were white and too tight and you can break the light unit extracting it if you aren't VERY, VERY careful and don't get a straight pull.
Once you have undone the two screws on the side of the light unit [I used a straight edged screwdriver by the way as VW are up to their "You can only go to a dealer to change a bulb" trick with a "funny" fastening] you can get the parcel strapping tape in easily enough so don't be put off.
But as you pull, keep your belly against the light [don't do this in public - it doesn't look good!!] to stop it suddenly releasing and clattering down the body work. [Even if it did the wire would stop it falling on the ground.]
Anyway, the replacement plastic sockets are black and should be installed in place of the white ones when you replace any bulbs in the outer light units.
The part number is 7L6 905 229 SPEED NUT and they cost a dollar each. It my be that your car already has them but there is no way of knowing until you've got the light out and since they can be a b1tch to do, my recommendation is you spend those two bucks so you have a new speed nut ready to go for each side. They are one helluva lot cheaper than a new light unit!
My dealer posted a pair of them to me only last week and the nearside is already done - the other nut is in the centre armrest awaiting the next bulb to blow in the offside unit!
Here's another how-to with pictures:
http://www.mytreg.com/index.php?/topic/9039-changing-rear-side-light-rear-brake-light-rear-indicator-bulb-on-t1/page__p__80698__hl__%2Brear+%2Blight__fromsearch__1#entry80698
I don't know how long VW used the white speed nuts - certainly 2003-4 and possibly 2005-6 even before their dealers had broken so many lights when changing bulbs that they finally did something about it!