Another place you can get an induction for the S4 is lltek motorsport.
LLTEK Motorsports :: Cold Air Induction Kits for Audis :: The Complete Audi Performance Place
This is a typical cone filter and short tube setup and I think is questionable when you think about the hot air you will get vs. the cold air from the stock unit. Photo included.
Anyone ever done a dyno test, personally. I don't trust the claims by some induction companies because under hood temps can be really hot.
I would try a high flow filter replacement first - and I'm not fond of the filters that require oil either. I don't have any web pages handy to link to for filters, try all the usual places.