It grinds in first gear? I've killed several A4lds, and never had that happen before. You'll definately want to look at it, or have someone else look at it. Chances are though, the transmission is shot.
The problem with automatic transmissions... when you first notice a problem, it is too late because the transmission is already ripping itself appart by slipping and burning up the fluid.
More frequently on the A4ld, it simply won't go into gear, won't go into overdrive, or it just starts slipping.