I don't own an Audi, but i'm familiar with the theft problem in Boston.

Here are 3 long-winded solution, but each is worth a shot.

Look into those tinted (or clear, if they make 'em) headlight covers you can get from online parts companies. A cover is one more layer for a time-restricted thief to lift off; plus a shaded one disguises the lamp (so it would be hard to tell immediately if it's the type they're looking for).

OR. Take the above example (headlight covers),paint the outside of them pitch black. Tape some electric wires to them from the inside. Find a way to secure them quickly (use a trace of velcro tape around the edges of the cracked cover, and then on your 'good' headlamp cover). Every night when you park your car, slap the old headlamp covers on (be sure to make the wires visible and dangling out). At a glance (or, arguably, a quick study) by a thief, it will look like your lights were already snatched.

(in lieu of new headlight covers in the above example, you could simply get a flexible, black, heavy duty plastic/nylon sheet and cut it to your headlight's size, and velcro them on each night instead)

Otherwise, (the real ****-retentive solution you could look into a 10" or 16" cable lock (a thin one). Open the hood, find a manufactured hole/holes on the back of the light assembly (or you could use a strong adhesive to glue a closed loop (for which to pass the cable through), and run the cable through the hole/glued loop on the headlight assembly and then run the cable around a metal bar (or other fixed piece) in the engine bay. Secure the cable with a small padlock (they make 'em the size of a quarter, check your hardware store). now if someone starts stealing your headlight and they're having a hard time yanking it out (because of the cable lock), they'll probably give up (racing against time) and move on to another audi. You might have some hood damage but at least you'll have your lights.