Before I go and order a replacement key, since my used 2009 A4 Cab only came with one, can anybody tell me if this actually works?

I found it at How to Program an Audi A4 Key | eBay

Programming New Audi A4 Keys
Put the key into the ignition. In this case, a valet key is a good option. While it's not absolutely necessary; valet keys just seem to work best with new key programming.

1. Turn the ignition to the on position.

2. Roll down the driver's side window. This is not required, but in case there is a problem, it’s a good safety precaution.

3. Exit the car, and shut the door.

4. Using second key, lock the door by turning the key in a clockwise direction. Do not use the remote to lock the door.

5. Take the first remote to be programmed, and press the unlock button. The lights will flash once.

6. Wait 10 seconds. Press the unlock button. The doors should unlock, and the first key should be programmed.

If there is only one key to be programmed, skip to step 16. Otherwise, continue to step seven.

It repeats for additional keys so I cut out all of the repetition.

 

This will reset the remote lock and unlock functions. It will not 'mate' the transponder with the ECU. Only God and Audi cam do that.