Actually, the Koni Sport (yellow) are quite stiff at their firmest and I don't think Koni even offers anything else for the MKIII. Don't think of any new suspension components in relation to your old shabby ones... you'd probably be blown away by a dirt cheap set of KYB GR-2s right now. Don't over do it on the dampening... it's what keeps the wheels in touch with the ground when you do hit a bump after all.
Once you get decent springs and dampers start saving for new bushings and beefier sway bars... those make a massive difference.
I haven't rode in a vehicle which had Koni dampers but everything else 20 years old so I can't comment on how they'll feel as a solo upgrade... I can't emphasize enough though that you should not expect two components to make up for 20 years of wear and rot on a number of other directly related parts.
Here's Koni's guide on adjusting the shocks:
http://www.koni-na.com/adjustment.cfm I've been told and have read that they can indeed be adjusted without being completely removed from the car though. Regardless... if you want good AND adjustable then you just have to give a little.
Are the H&R springs linear rate or progressive?