I'm sitting at just over 800 miles on the A5, I've actually just started to allow myself to climb high on the tach. That's hard for me, because I'm used to taking my cars up to redline regularly (is every traffic light regular?).
But also, I think there's been a slight change in my engine's character in the last hundred hundred miles or so. I know that could sound a bit silly, but there's definitely something to it. There's been a noticeable increase in the reported fuel economy over the same stretches of road with the same type of driving. That's a clear sign that the engine has started to loosen up, and has crossed a bit of a break-in threshold.
Not following a conservative 1000-mile-or-so break in strategy probably won't result in your car blowing up. In fact, it may do nothing more than shorten the car's life expectancy from, say, 250,000 miles to 230,000. But I say it's cheap insurance, and certianly can't do any harm. And with gas prices as high as they've been, it's just another good excuse to be gentle with the right foot for a time.