You should try to keep the same rolling distance (so any rim size will end up with no difference to the car height or speedo reading)

Your 19's are a low profile, you'd probably find 17's a good compromise. 15's are likely to feel sloppy as the sidewall will flex a lot.

If your car feels slow, I'd be looking at Vag-com, swapping out your J valve for a standard one and checking your piping for boost / vacum leaks. Unless you shead a lot of rim weight, you are not going to notice a massive difference.