It's possible that the smoke you're seeing isn't indicative of any major problem. Some of the VW diesel engines have a tendency to build up unburned fuel and other deposits on the exhaust side of the engine if they're driven for short trips and driven too gently.
I don't have direct experience with the SDI engine, but this is a real problem for the TDI engines, and can lead to turbo issues on the TDI when the turbo eventually becomes too sooted up (especially on the variable-vane geometry turbo).
Prevention is relatively simple. Try to push the engine hard at least once per trip to burn off these deposits. After the engine has warmed to operating temperature, if you have a clear stretch of road in front of you, accelerate hard (floor the accelerator) in second or third gear all the way up to near redline. You need both full-throttle and high RPM to generate the heat to do the job. High RPM by itself won't do it, and full-throttle at low RPM won't do it.
You may find that the car smokes less after this.