So for the past view days I've been literally sitting in my car trying to find something I could tap the "remote switch" wire from my aftermarket stereo into that I knew would not turn off until the key was pull out of the ignition. I only found two options, was the power windows or into the one of the small L.E.D. bulbs for the window and lock buttons on the driver side door. The down side to this is that once the door opens those stopped receiving power. Not exactly how the factory stereo worked before... but it was close.
So I start to wire it up but kept thinking to myself that I swear I've done this setup before and something didn't work out. That's when it hit me, I had gone through the same exact process when I had my MK3 VW Jetta VR6 likely 10 years ago. I remember getting it wired and a few days later the key sense wire went dead. A little searching later, I found out that it was because the stereo was using the voltage from that key sense wire when the ignition switch was not design for it. Basically it blew some sort of internal fuse or something within the ignition switch. So not to make the same mistake twice I found a 12v four pong relay I had laying around and wired it up so that when the key was in the ignition the relay would relay the power from constant 12v wire rather then the key sense wire to the stereo's remote switch wire. A little soldering, electrical tap, and few zip ties later...
Key set to the on position: Stereo ON
Key set to the off position from on: Stereo stays ON
Key pulled from ignition: Stereo OFF
Finally the way I wanted it! Long story short, there is a key sense wire on the B5 Audi S4 and it is possible to wire up your aftermarket stereo so that it does not power off until you pull the key completely out of the ignition. Look for a thin red wire from the back of the ignition switch and wire up a relay to a constant 12v connection. Sorry guys no pics and step by step, but I may put a video up later this weekend with a general walk through much like the fog light mod.