Depends on which 3.0tdi engine you have got.

Some engines need fuel priming but the CAPA code engine (240bhp) doesn't need priming according to Elsawin and I didn't do this when I swapped mine early on this year.

If you don't replace the fuel filter it will over time get clogged or retain water and you may end up with a fuel pressure fault code. Ultimately a blocked fuel filter will stop the engine as it will starve the engine of fuel as happened to me in a TDCi Mondeo a couple of years ago.

Diesel is a mucky fuel and full of bits of dead Woolly Mammoth and other extinct beasties and needs filtering as much if not more than a petrol engine. Its not worth the risk of not changing the fuel filter. Its a very quick job - 15 mins tops.

 

Thanks its a CCWA Engine

 

Aaaah, that makes it a bit more tricky as the fuel system will definitely need bleeding as you initially stated. Still worth doing though even if its got to go to the dealer. The info below is what I pulled from ElsaWin. Hope its of some use:

Audi A4 2008 ➤ , Audi A5 Cabriolet 2009 ➤ , Audi A5 Coupé 2008 ➤
TDI injection and glow plug system (6-cyl. 2.7 ltr., 3.0 ltr. 4-valve common rail) - Edition 06.2012

7 Bleeding fuel system (CAMA, CAMB,
CCWA, CCWB, CGKA, CGKB,
CCLA)
Special tools and workshop equipment required
♦ Vehicle diagnostic tester

Caution
After installation, the high-pressure pump must first be filled
with fuel before the engine is started (the pump must NOT be
allowed to run while still empty).
Proceed as follows to fill high-pressure pump with fuel.
• There must be sufficient fuel in the tank.
– Connect a vehicle diagnostic tester .
– Switch on ignition.
– Select „Engine electronics“ in vehicle self-diagnosis.
– Then select „Basic setting“.
– Select „Checking fuel system pressurisation pump“ from the list.
– Press „start“ button.
– The fuel pumps start running.
– The fuel pump must run for approx. 3 minutes to ensure that
the fuel system is filled sufficiently with fuel.

Note
To repeat basic setting, switch ignition off and on once. Then start
basic setting again.
– Start engine after filling fuel system.
– Run engine at moderate speed for several minutes and then switch off.
– Check fuel system for leaks.
– Erase entry in event memory using diagnostic tester.
– After completing the repair, road-test the vehicle. Accelerate
with full throttle at least once. Then check the high-pressure
section of the fuel system again for leaks.

Note
If there is any air left in the fuel system, the engine may switch to
the backup mode ('emergency running' mode) during the road
test. Switch off the engine and erase the event memory. Then
continue the road test.

– Interrogate event memory.


and there's also this...


Audi A4 2008 ➤ , Audi A5 Cabriolet 2009 ➤ , Audi A5 Coupé 2008 ➤ , Audi ...
Fuel supply system, diesel engines - Edition 06.2012

7.1 Bleeding fuel system
Vehicles with 4-cyl. or 6-cyl. engine (generation I) except those
with engine code CAPA

Caution
Running when dry causes irreparable damage to high-pressure
pump.
♦ If the fuel filter, the fuel lines or the supplementary fuel
pump -V393- are renewed, it is important to bleed the fuel
system before the engine is started for the first time.
– Bleed fuel system ⇒ Rep. gr. 23 ; Performing first fuel filling
after installing high-pressure pump .

Vehicles with 4-cyl. or 6-cyl. engine (generation II) or with engine
code CAPA
♦ Due to the design of the engine, with a fuel system pressurisation
pump located in the fuel tank, it is not necessary to bleed
the fuel system.
♦ The fuel system bleeds itself when the starter is operated.

7.2 Bleeding fuel supply line leading to metering
pump - vehicles with auxiliary heater

Note
On vehicles with auxiliary heater, it is important to bleed the fuel
supply line leading to the metering pump after working on the fuel
delivery unit.
Special tools and workshop equipment required
♦ Diesel extractor -VAS 5226-
♦ Hand vacuum pump -VAS 6213-

Procedure
• Auxiliary heater switched off.
– Connect diesel extractor -VAS 5226- to compressed air.
– Remove fuel supply line -2- from fuel tank at metering pump
-1-.
– Connect diesel extractor -VAS 5226- to fuel supply line with
adapter from hand vacuum pump -VAS 6213- and bleed fuel
supply line by operating extractor briefly.
– Re-attach fuel supply line to metering pump.
– Switch auxiliary heating on and run at full load for approx. 10
minutes.

 

Thanks again for you help! I have VCDS, so hopefully i would be able to do this using VCDS

 

Done this using VCDS, exact instructions I followed from ross-tech


Fuel Pump Basic Settings for PD, PPD, and CR TDI Engines

The CR (Common Rail) TDI engines should not be operated without fuel which may be an issue after repairs such as fuel injector and fuel filter replacement. The electric fuel pump, located in the fuel tank or externally mounted in-line, can be operated via basic settings to fill the system.
These instructions do NOT apply to the VE TDI Engines.

The PD and PPD TDI engines are not as sensitive to low fuel volume however those engine management systems typically include provisions for electric fuel pump priming.


Prerequisites:
Ignition On, Engine Off.
Battery voltage at least 11.5 V
Fuel tank has a sufficient level of fuel

Contents [hide]
1 Fuel Pump Basic Settings
1.1 Special Notes
Fuel Pump Basic Settings

[Select]
[01 - Engine]
[Basic Settings - 04]
Set Group to "035" if Available. Substitute using the details in the Special Notes section when needed.
[Go!]
[ON/OFF/Next]
The electric fuel pump should run for 30 seconds
If the vehicle had a simple repair such as a fuel filter that should be a sufficient amount of time for the filter to fill up.
If the engine had extensive repairs such as injector replacement and/or fuel system flushing this process should be repeated no less than 3 times. Click [On/Off/Next] to reinitialize the process if needed.
[Done, Go Back]
Special Notes
If the vehicle uses the latest KWP-7000 (UDS/ODX) engine controller, conventional Basic Setting group numbers do not apply. Instead, choose the Transfer Fuel Pump (FP) test or similar operation from the drop down menu followed by [Go!] to activate the Basic Setting. The EDC should display "Running" and the electric fuel pump will run. After the result of Finished Correctly appears click [Stop].


In my case I didn't have any option to set group 35, instead I had to choose " Transfer Fuel Pump (FP) test" from drop down list under basic settings