You don't have to take the calipers off, but you might want to so you can bleed the brake fluid lines and clean the calipers if you have time. I don't think you need to turn the rotors unless your steering wheel or brake pedal vibrates when you brake (a sign of a warped rotor - typically the steering wheel indicates the front rotors are warped and the brake pedal indicates the rear rotors).
That page describes how to change the brakes on the TT models - it should be very similar for the N/A models though. Basically you'll have the caliper off and there will be two metal rods running across the caliper through each of the pads. Holding those rods in, on the TT models, is a little clip that you just pull out. Then you can pull the pads out.
Once you have the old pads off, before you put the new ones on, you need to compress the pistons in the calipers. Use a C clamp to do this and don't forget to take off your brake fluid reservoir cap or you will not be able to compress the pistons.
Spray the backs of the pads with anti squeal stuff before you put the new ones on.
Also, you need to clean at least the outside of the pistons of the calipers.
Use some brake cleaner on the rotors right before you put them back on the car.
DO NOT put anti-squeal stuff on the rotors or front of the pads - ONLY the back of the pads.