I wouldn't necessarily recommend a heavier weight lubricant. In my manual factory preferred lubricant is Castrol Syntec 5w-40 so I'm not sure where you saw 0w-30.ooh yea for those who drive there cars i would recommend using a heavier weight oil than 0w-30, ya i know the manual says to use it but afterall we arent driving on the autobahn here more like everyday traffic and sometimes we all get a little throttle happy.
In general if you are worried about engine warranty just get a lubricant that meets/exceeds VW's 502.00 specification. There's a list from '04 floating around on Vortex, also most manufacturer's will have guides and list if they are "compatible". Mobil-1 0W-40 is approved and it's what I use, or Valvoline SynPower 5w-30 MST/SynPower 5w-40. The 5w-30 MST is NOT the same as SynPower 5w-30, do not get the two confused.
Love it or hate it WallyWorld(walmart) is Win for good deals... don't forget to check the filter has a fresh gasket (tab up when installed!) and a new crush washer for drain plug.