If you are on a budget try and pick up some OEM EK9 suspension (often comes up in the classifieds for aorund £150), this will offer a big improvement over the standard EK4 suspension for little outlay, then if your budget allows, some decent quality springs such as Eibachs (around £160 new). It's not really adviseable to drop lower than about 20mm on stock dampers as you will hinder their performance.
Once you can budget for coilovers at about £500, check out MeisterR, their kits are getting good reviews all round and they offer first class customer service too, which counts for a lot!
Yes straight swap.
The standard EK9 is a completely different animal to the EK4 in the handling department so you may find that the standard 9 handles better than the 4 with coilovers (depending on the brand/spec of course). Don't be too quick to junk the EK9 suspension, give it a chance for a while to see how the standard car feels, and make sure you're not making to many compromises when you switch. When you have one of the best handling FWD cars made it is all too easy to make it worse!