The manual on my '00 A4 states the heated wheel comes on when the driver's seat heater is turned on.. But this doesn't happen. Maybe it is dependent on the temp sensor that turns on the mirror heaters? Anyone in colder climates care to verify this?

I have a '00 as well, and if you look in the manual, there is a little * next to it, which means it's optional. I believe it was standard/optional on the A6 only though. Anything in the manual that has a * next to it means it is optional.

I've never seen a single mention of a heated steering wheel on the A4 until this post. According to the model guide on this site, it's not part of the "cold-weather package":

"Cold-Weather Package
Expandable ski/storage sack • Heated front seats • Heated drivers door lock"