Going from 5w40 or 10w40 to 0w40 (all fully synthetic) absolutely makes sense. It will not harm your engine. In fact, the only difference will be reduced wear on cold starts.
The 40 in the oil weights mentioned is the SAE rating at operating temperature. Since it's the same for all three, they will be exactly the same viscosity as soon as the engine is warm.
The number before the w however, represents the SAE rating when cold. This is not directly the same scale as the number after the w, though!
This means that when the engine is cold the 5w40 oil will behave as a single-grade SAE 5 oil behaves when cold, but when the engine is warm it will behave as a single-grade SAE 40 oil behaves when warm.
Even 0w40 oil is too thick for the engine to pump properly when cold, but it's much thinner than 5w40 or 10w40 at those temperatures which translates to less wear due to cold starts. At operating temperature, there's no difference.
There is absolutely no reason apart from cost for sticking with 5w40 or 10w40 when 0w40 is available. It's better for your engine.
hxxp://ferrarichat.com/forum/showthread.php?t=136052
Ignore the parts that talk about racing (not exactly applicable for a diesel Panda), but read the rest of it.