Any of the big brand names generally supplies decent quality diesel. That said I have heard it said that Caltex/Ampol diesel is typically the cleanest (fewer impurities) while the BP diesel is routinely of the highest compliance with the new low sulphur standard at the moment. Either way though your new TDi will happily consume either with no issue.
It may be best to avoid no-name and some supermarket suppliers at least until the new diesel fuel standard is regulation. You've bought a premium vehicle so be prepared to pay a small premium for decent quality fuel.
As for running in.........use all the gears, don't stay at one engine speed (eg cruising) for any longer than 10 minutes at a time , minimise straying above about 2200 revs, don't run air con until engine temp is well warm. Generally take it easy for the first five thouand you'll have a motor that'll last longer than the car it is sitting in.
By the way.......welcome to the diesel fold.
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