Pretty much the same as any other conversion, physically it drops straight in.
Earlier Golf 4's will be problematic as the Golf 5 only accepts road speed and RPM via CAN, but If it's a late Golf 4 and already a diesel it'll get the road speed signal and provide RPM via CAN which makes things a lot simpler.
You'll need to get the EDC 16 ECU de-coded, or hide a set of clusters somewhere, then all you're left with is the wiring [

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There's not a lot between the 1.9 and 2.0 PD's, so it's a lot of hassle for not a lot of reward. If you want to be different go for one of the new commonrail engines!