First you gotta figure how you use your car. If you never really plan to put sticky tires on it at the track, then there is no real reason. The stock output shaft is fairly decent. Then you gotta think in terms of "fuseable links". In other words, if you do run it at the track with sticky tires, the weakest link in the drive train will be the one to absorb the energy(either that or the car will go down the track with allpower being used properly). I would think the first thing is that the clutch would start slipping. If you install a heavy duty clutch, then the output shaft would probably be next. The halfshafts I guess would be next but they are fairly stout. Anyway, unless you plan on beating on your car at the track with sticky tires, over 400rwhp, and a heavy duty clutch, you are probably okay.....just an opinion here.
Edit: I just read your sig and noticed you are A4. It would seem you would have done this with the tranny swap.....no?