According to the R32 maintenance schedule I downloaded from VWoA, the Haldex oil and filter should be changed every 40k miles. This would be fine, except that Volkswagen Driver magazine, in March 2004, published an article in which they asked the technical department at Haldex Traction AB Instrumentgatan, Landskrona, Sweden, when and how to service the Haldex system on Golf 4Motion. The tech department rep advised to change the Haldex oil every 20k, and the filter every 40k. You can read the article for the DIY and part nos, or you can click here, or you can even click on the picture ;o)
I had my 20k service done a couple months ago at Pro-Imports. I debated asking them to change the Haldex oil, but ended up deciding not to; I think I'll probably request a change at 30k.