My 1996 A4 does NOT have the remote key fob.
I would like to add remote power lock feature.

What is the best way to go about it?

 

Do you know if it came with keyless entry and the PO just lost the fob? Or are you looking to install an aftermarket keyless entry setup because yours didn't come from the factory?

 

I assume it did not come with factory keyless.
Is there a way to check?

 

Only reason I ask is that they didn't start with the all-in-one switchblade key/remote until like 98 or 99, so its possible yours DID in fact have keyless entry. Try this DIY for finding the antenna, but i believe the actual receiver is under the back seat on the passenger's side.

https://www.audiforums.com/forum/s-car-model-line-13/increase-your-remote-range-20min-65564/