Where could coolant/water be leaking from '04 VW tdi

Overheating under any circumstances just isn't a good thing. If you are adding coolant / water and it doesn't come out anywhere, but continues to be low, it could be evidence of coolant getting inside the engine combustion chamber where it does not belong. Without inspecting the vehicle, it'd be impossible to know what's going on. If you see signs of leaks externally, water or coolant hitting the ground, you may have a shot at seeing where it is leaking and if something is loose - great, secure it. But the chances of that are really slim, as components typically fail -- not just getting loose. The other thing to worry about is that coolant / water in the engine can often be scalding hot -- you risk serious burns or injury trying to fix something like this without proper knowledge and training. I totally understand what you're trying to accomplish, and appreciate it, but safety first. Good luck.