Permanently installed jack pads from Audi will fit the Cayman and keep the jacking points from being scratched up. They also fit into the cups of many hydraulic jacks and offer some protection from the vehicle slipping off the jack.
See Parts4vws.com and Parts4Audis.com - MKIV/B5/B5.5 Jack Pad Set for the parts and VWvortex Forums: The Official Jack Pad Install Write Up, for those who wanted it. for instructions. You may need to cut one of the wedges vertically for the rear jackpoints (it will be obvious when you feel inside the jack point how to cut the wedge) but they sure come in handy if you change wheels a lot.