In case you have not yet fixed the problem i have a little info to throw around.
When i bought my p5 it had a misfire. i changed the coils wires and plugs and nothing. changed the egr, nothing.
due to the missfire, a coil began to give out and fumes were burning in the cat, melting it, changed that out too. nothing
so finally i bought a header on ebay,(cheap ass one) and did not connect the egr.. car worked better but randomly my rpms would drop. (i also have a cheap ebay CAI) i repositioned my MAF a tad bit to the right and did a radioator flush and i am currenlty running a bottler of water wetter, 1/3 of coolant, and the rest water. I was running hot. Back to zooming

My temp gauge never moved, however you could hear a kind of grinding noise (kind of like dirt hitting the inside of the headers) which only happened after running the vehicle a while. F*** the gauge MAKE SURE it is not running hot. or that you are not pulling in hot air. if the back pipe to your CAI in tapping againt the brake lines you have some crazy friction and probably a rattle in the MAF, thats a NO NO