Daz,
Sorry to hear about your misfortune.
The alarm sounder is in a pretty crazy place, nicely soundproofed in the recesses of the boot...!
Are you saying that your alarm didnt sound at all, or just that you didnt hear it? If it's not sounding at all, this should show up in the DTCs in Vagcom - if it's not a loose connection then it's a dead horn, which needs replacing (about £70 from Audi).
If the horn simply isnt loud enough, then a good place to relocate it is in the engine bay, from where it seems to be about 3 times louder!
As for making it more sensitive, there is no tilt sensor, but you could link one in with the existing alarm circuit.