BluHeaven- Welcome to Autopia. All the compliments you and your car are receiving are well-deserved. I have a fair amount of experience with Audis, so here's my $0.02:
All the Audi paints I've worked recently have been rather hard, so it sometimes takes a good amount of work to get swirls/scratches out of them. I SINCERELY doubt that you'll be too aggressive for the car's new paint. It's more likely that you'll polish away for quite a while and STILL see some scratches and swirls. Go ahead and work on them with the PC and the Menzerna, if that's your polish of choice.
I'd use a white polishing pad with the BF polish. IMO, a more aggressive pad won't make that product work any better. It's too mild to remove any swirls and it doesn't really HIDE much either, despite what the ad copy says. So polish with Menzerna, etc. as well as you can before switching to the BF polish.
I usually use 3M's Adhesive Remover for Cosmoline. It's a rather strong solvent but it won't hurt your paint (not too great on skin, though). It WILL, however, remove your BF. Cosmoline can also make a mess out of your polishing pads, so clean it off first, before polishing. Clay can also remove LIGHT Cosmoline residue.
As Magellan said, the trick with Audi wheels is to just NOT let the brake dust build up until it compromises the wheels' clearcoat. They can dust quite a bit, but the dust isn't too nasty. I'm using BF on my S8's wheels. If your wheel cleaning regimen takes it off, it only takes a moment to re-apply it.
Audi uses different leathers in different cars/packages so I'm not certain about yours. Mine have all responded well to regular leather conditioners (Pinnacle, Griot's) as opposed to products touted for "coated leathers". I can't tell you about the denim staining issue, but Griot's Interior Cleaner and Lexol's leather cleaner both work well for me. Paco's Woolite advice is good too, just be sure to really rinse it off well before using a conditioner.
Consider getting a sunshade for your windshield. The leather on the steering wheel can sometimes deteriorate quite rapidly (surprisingly so) when the car's parked outside a lot. My dealer will replace them under warranty, but preventing the damage would be best.