Hey Ben, welcome to the org! There's a thread in the TDI FAQ about breaking in your diesel the right way...I broke mine in that way, and also my mom's old 2001 Jetta TDI with it. It's a foolproof method and easy to follow. Enjoy your new TDI! Did you get the manual or the DSG?
You should know that the diesel isn't fully broken in until about 50K miles. You don't necessarily have to treat it as such for that long...but just an FYI for when you are checking out your mpgs when you get it. I would start tracking it from day one and you should see it gradually increase. It just might be lower than you expect at first. You should also figure out how to "vent" your tank as soon as possible. That way you can be for sure about your fill line everytime...and you can get the most range from your tank.