I have the same experience on my car when it is cold, I find going slower with the 1st to 2nd changes and making sure my foot is right on the floor with the clutch helps.
This is a known issue with the 6-speed gearbox.
The recommended gearbox oil is 75W90 (ie. Castrol Syntrans Transaxle (TAF-X) 75W-90).
Some people recommend 75W80 (ie. Castrol Syntrans V FE 75W-80) to solve this issue with 1st and 2nd gear during cold weather.
Here's another thing to try. If it works then you'll need to give credit to (cupra)jake as I spotted this on his post on another forum. I've tried this and its taken me numerous attempts, but I have ironed out some of the resistance on gear changes (although not the 'massive diffierence' that others with A4s have seen).
https://www.youtube.com/watch?v=HOm9gQKFX8M
Problem is finding someone who can do it for me
Its not that hard to do, having done this several times, it now takes me about 3.5 mins to take out gear cover, insulation, ash tray etc (first time was more like 35 mins).