I've had a disklok for about 8 years now!, got one when they had just appeared in the shops for my mk2 GTI <<saved this car a few times. Nothing like the feeling of gutted to relief when walking back to the car and seeing glass on the footpath, only to find out it was from the car that WAS parked next to yours.
As for marking the steering wheel, a quick rub round inside the disk and the face that goes against the vw badge in the wheel with some fine wetanddry will take off the little marks in the paint that can do damage just rub your had round it and it should be nice and smooth, the newer ones (gf got one for her A3) seem to have a few more rougher edges inside.
Plus don't turn it when it's on the wheel, as it will mark the steering wheel. I tend to have the locking arm on the left and not on the top like the instructions say, easier to take on and off that way too.