On Audizine, it looks like the RS4 mufflers are too large for the A4, and wont fit around where the body drops down for the spare tire. One guy guesses you may only be about to use something like 30% of the RS4 exhaust, after modification.
http://www.audizine.com/forum/showthread.php/358634-RS4-b7-exhaust-on-to-a-B6-A4
The guy at the bottom of the thread made it work, but said he had to modify both the exhaust itself, and the wheel well of the car. And, just so you know, this guy modified his car to be a RS style widebody copy. So, he is into major modification.
Too much work, when the S4 exhaust works perfectly, and is cheap.