Anything possible as long as you put your mind too it =D. LOL, but yeah it is. Alot of custom work and fabrication will be needed, and a new rear bumper to fit in. Keep in mind you won't get that same R32 two rumble, just the look.
I bought a oem R muffler off the classifieds, it won't fit. The Spare tire well on the R is much more shallow compared to the GTI. Buy th axleback from Eurojet for like $280 if you want the look.
Might want to pop onto vortex and hit up Bud @ Checkered Flag he can hook you up with painted panels for cheap.
I have looked into doing an R32 exhaust conversion and will be rather expensive.
I wanted to buy a painted bumper and then get the Neuspeed R32 Catback added (would need to be custom fitted).