Do the valve cover studs have a shoulder on them?  Different gaskets and the
studs have to be fully seated!
AFAIK You can use a later model A3 Jetta 2.0 8V valve cover that is one
piece, rubber and reinforced if your studs don't have shoulders.
Did you straighten out the bolt holes in the cover?  Probably the problem!!
Did you remove ALL of the old gasket?  Possibly the problem
Did you make sure that the PCV vent is clear?  I have seen several that were
clogged with oil residue and I am thinking that the blowby might be trying
to push oil even out of your new gasket.  Just a thought.  <g>

Sometimes people tighten the cover down too much and it actually ruins
the cover.

It flattens it out so it never fits properly again.

If you're still using the old cork gasket, switch to the newer style
neoprene gasket. My cork gaskets used to leak all the time, but I've never
had a leak with the neoprene.

However, you will probably need to change the studs on your cylinder head.
It has been several years since I made the conversion, but I think the
originals had a flange, and you need to install straight studs without the
flange. You can use a pair of vice grips if you don't care about destroying
the old studs, or just thread on a couple of nuts and tighten them together
then put a wrench on the bottom nut to unscrew the stud.

Anthony