To test the wheel speed sensors at the hubs:
Dis-connect the sensor and measure the resistance of the sensor with a multi-meter.
Now, I'm not sure of the exact resistance for the sensors, but checking all 4 should give you a rough idea (around 8-10ohms I think). Obviously if the sensor is open circuit (has no resistance) then it's dead!
If the sensors all read roughly the same, then you need to reconnect the sensors and test the resistance of the sensor wiring/circuit. Unplug the ABS module multi-plug and put the meter across each of these pairs of wire connector pins, noting the resistance figure:
LFront=15&32, RFront=17&34, LRear=18&35, RRear=16&33
(Assuming a 96/97 Tdi)
An alternative way to test each of the wheel sensors is, jack up the wheel, chock the other 3 and let the handbrake off, set the test meter to AC volts and whilst you're holding the wires in the connector get an assistant to spin the wheel, you should get a voltage that rises as you spin the wheel faster.