You don't have to completely pull it, but you do need to loosen it. The side reflector can be drilled through and cut away, but if you are pulling the bumper for the headlights anyway, might as well do the reflectors at the same time.

Do a search for "Eddie Man". He has links in his signature that answer both of your questions more completely. His answers are for an S4, but I have to assume the RS4 bumper has similar mounting points.

they are bolted in. 2 bolts per side. However, it looks like they are accessible by loosening the front of each fender well. I will tackle this project at some point and get the side markers painted over.

Basically you purchase new reflectors and smoke or paint them. Then you destroy the originals by drilling a hole in the center and using that hole pop them out. Then just click the new ones in.

Go to the B7 S4 board and search for Eddie Man. Then look in his de-modded section for details on this.

150 deg for 5 minutes isn't a lot of heat. If you leave the car in the hot summer sun for a couple of hours (with the engine also hot), the housings are probably ALREADY at or near 150 degrees. So then, why even bother removing the headlight housings and baking them? While the housing is still hot and in the vehicle (but pulled forward slightly to access all of the clips), couldn't one pry the face lens off (using a hair dryer or heat gun for additional heat, if necessary), remove the orange lens, and put the housing back together? Just a thought.

I taped my reflectors with blackout tape....the fronts look ok, but the rears looked dumb. clear lenses would look better on silver or white cars.

The amber lens isn't always easy to pop out. Not taking the housings out might not give you the leverage you need to knock it out.

The glue around the housing might be an issue without leverage as well. If any gets into the housing there is really nothing you can do to fix it. With the housings out you can manage the glue easily.

The clips on the bottom might not be accessible without removing the housings completely.

I agree that the engine alone would make the housings hot enough, so if you can get them out fast enough there would be no reason to bake them.

...i haven't seen it in person, but couldn't you just drill holes in it and break it up into pieces, instead of trying to forcibly pop it out? That's how people used to do it on the Mk1 TT (which could be done without even removing the face lens...just drill a hole in the back of housing, break up the reflector, remove through the hole, seal hole with silicone).

This amber piece is not as easy to brake apart as the B5/B6 reflector piece. I had a spare housing from an A4 that my body shop had lying around and played around with it.

You can pop out the piece first and then try to break it up into pieces, but I think the oven method would be faster. Plus, with the amber piece loose it can scratch up the inside of the housing.

I tried it that way first on the A4 housing and didn't like how it was going.

For me, the WORST part of the project was just getting enough play in the bumper to get the housings out. Whether you loosen the headlights or remove them, you are still going to need to loosen or remove the bumper. And removing and reinstalling the headlights is a snap if you have the right tools, so my take on the matter is that you might as well remove them so you can work on them on your own terms. Plus, like Fluffhead mentioned, I'm not sure you can get at all of the retaining clips from the bottom.

Basically you would only be saving about 2 minutes of work if you chose to try and work on the housings while on the car, and I think in so doing you would be giving up a lot of terms of your options for popping the cap.

I just bought spare OEM reflectors and left them with an Audi body shop for a week and asked them to do my reflectors on the next batch of Phantom Black paint that they did with my paint code. They did this free of charge and even sanded off the part numbers.

Yes, I know in the picture the match isn't perfect but that seems to happen with a camera flash. The other shot is in daylight and isn't as bad. Still looks better than a smoked reflector to me, personally.
<img src="http://pictureposter.audiworld.com/224/dsc_0065.jpg">
<img src="http://pictureposter.audiworld.com/224/clearcorner2.jpg">