Hey jpeake...
I also have a 07 S3 with the new heat shield.

As you can see the mid-pipe is not the same as the 06 version...

The reason I am showing this is because some 07 models come with an 06 mid-pipe. You just need to check to see if your O2 sensor is part of the mid-pipe or if has been placed in its new location near the oil filter.
If you do have the new style mid-pipe... You will have to wait a bit to get pipes from Chain Reaction :???: . Bob is currently trying to see if he can make his mid-pipe work on my new 07 exhaust. Because not only has the mid-pipe changed. The header has also been shortened.
This stinks... because I have owned a 07 S3 for almost a month now... and haven't put a mile on it. I won't ride her until my vision is complete. CRM pipes are so cool I just had to buy a S3 to put them on!
Just look under the exhausts skirt to see where and what you will be modding.
John