Cabmac, in reply to original question you only really have to replace an axle at a time, not all 4 although as you have found most tyre dealers and Audi would like you to replace all in one go.
The shoulders on my Conti's also wore quickly but found that mostly to underinflating and hard cornering because the Conti's performed so poorly in handling.
I changed all of mine as I only had .5mm more on the rears than the fronts after 17K miles to F1 GSD3's, £520 all in. However I did find them for £116 per corner, they ran out though before I could book the car in and couldn't supply for another couple of weeks, hence why I went for the £520 for 4 option.
As for pressures I'm running at 41 fronts and 38 rears at present and the ride is a lot better then when on 39/35, not a crashy through bumps and pot holes and the car doesn't nose dive into corners as much.