Here are some hints for installing an aftermarket exhaust.

Evan says:
make sure you have some good clamps... get some exhaust compound goop to seal up the connections (prone to leaking)... if you have access to an impact wrench, that helps a lot with clamp tightening... as Scot said, rotation of the center pipe changes alignment of the rear can... (in case your tips don't line up qutie right within your rear valence.

Other hints:
You might also want to purchase a center bracket from Audi, and you can even do this after the insall if you loosen the center clamp and drop the exhaust. The part numbers are:

BRACKET 8N0 253 461 C

RUBBER: (180) 1H0 253 147 B
(225) 1J0 253 147 C

NUTS: N-900-744-01 (should already be there, 3 or 4 of them).

Audiworld Reference