Has anyone changed the thermostat in their A4? If so, is it extremely intailed or fairly easy? I had the timing belt, water pump, tensioner, etc. done but they never replaced the thermostat. It's 15 degrees outside and unless I am sitting still my gauge doesn't move and only get cold air. Could it be anything other than the thermostat?

The thermostat should be at the bottom of the block where the radiator hose is.