VW Coolant leaves a "trail" when it leaks out... follow the trail to the source of the leak(s).
Sample "Trail Stains":
http://www.youtube.com/watch?v=BjbUunso5Yc
If no external leaks are found, then the coolant is being burnt in the cylinder(s) and air is getting into the cooling system / heater core
which would explain your cold air.
Bad water pumps will also cause no heat... but they also cause overheating.
Check for excessive coolant hose pressure... might need a head gasket.
Thomas
Feb 3, 2013 at 10:17 PM