I would first check the transmission ECU for any stored fault codes. How this is done you can see here on the SJM autotechnik home page. Any Audi dealer also should capable to do that.
Second, check your transmission fluid level and consistency. This is a rather complicated process that has been discussed in this thread already.
Do you know when it has last been changed? The ATF needs to be changed at regular intervals, AFAIK every 60.000 kms.