Finally, got around to installing my H&R sway bar kit today.
The H&R 22mm rear bar looked very serious next to the puny 15 mm stock bar. The front H&R bar at 32 mm looked only slightly larger than stock by 3 or 4 mm.
Install was quite easy for the back but the front was a little difficult by myself and the left bar mount didn't quite sit flush with the idler arm bushing.

Not sure if anyone else has had this problem? I think it will be ok though and I will check it for positioning in a few weeks.
I set both bars on the maximum setting.
I went for a spirited test drive around the streets this arvo and the upgrade is certainly noticeable. On fast second gear corners the car sits noticeably flatter and tighter through the corner. The understeer tendancy is significantly reduced and this is particularly noticeable when accellerating from stop through a tight corner. The car steers much much nicer now under power from a standing start and turn in is also noticeably better.
I managed to get a slight bit of oversteer happening on one corner requirng very minor correction.. not sure if the ESP caught it, but it was a little unexpected. Though I could occassionally get the car to do this even with the stock bars.
Haven't managed any high speed cornering yet, but I will go for a more serious drive in the next few weeks.
Note that I am running on stock RS4 springs and shocks (~17k). However, with out doubt the H&R 'fat' bar upgrade alone is well worth the effort and minor expense if you don't want to go coil overs or the full quattro GmbH.