I take it your reverse lights stay on, when not in reverse..
part number 191 919 823 cost 20$ from a respectable vw shop take 5min to replace,,.
http://i903.Photobucket.com/albums/ac235/rjenkins410/IMG_0559LargeWebview.jpg
here is photo of where its located on the transmission
on my 1986 golf 2,(think its the same engine), its located on top of the gearbox.
The replacement relay for a 1995 Volkswagen Golf GL is part number :P2020-324863. This is located in the hazard light switch.
The shift patterns for older German vehicles such as a 1985 Volkswagen Golf followed a basic H pattern. The only exception was the reverse which required a driver to push the shifter down, left then back.
The thermostatic switch is located near the top right hand side of the radiator (if your facing car).
Volkswagen golf ones
The 2004 Volkswagen Golf has 8 valves.
The 2001 Volkswagen Golf has 8 valves.
The 2010 Volkswagen Golf has 20 valves.
The 2003 Volkswagen Golf has 8 valves.
The 2012 Volkswagen Golf has 20 valves.
It's posted as a recall item: http://auto-recalls.justia.com/content/04V584000-VOLKSWAGEN-GOLF-2002.html
How to install thermostat in a 1994 volkswagen golf?