It's a Bad Thing, but not all THAT bad
So your baja's burning oil. Likely it's pretty bad by now, or you'd just say "it's a VW, why worry about the little things."
Sorry to hear the bad news - oil burning. Glad to hear the good news - it's likely you've been driving it hard lately, or you wouldn't be having this problem. And that's part of the fun - VW repairs are relatively inexpensive and easy, why not enjoy your baja.
I start by stating the obvious - the two ways to get oil into the cylinders are bad rings or bad valves.
Trick question of the day - rings or valves?
Nietzsche would have said, check out the heads since they come off first and our caveman predecessors thought in a linear fashion to take on the first possibility. However, Kant would have said, don't posit the existence of a bill with the machine shop unless absolutely necessary. Freud would say if you got more sex you wouldn't drive your baja so hard & wouldn't be in this position.
Now it's my turn to wax philosophical, and I say, don't it suck!
My recommendation is to "shotgun" the problem. Once the heads are off the cylinders come off rather easily and it's only a $10 ring compression tool if you're wrong. Plus, it's the perfect opportunity to add teflon wrist-pin buttons instead of little steel snaprings that break and take out rings in the process. (hmmm, that's a consideration here ain't it?) If there's no visible ring / cylinder damage I guess your heads are going into the shop.
Check the plugs after a run-test and see which cylinder(s) are doing the oil thang. You know the run test? Buzzz down a road and make your baja motor behave badly, then CUT the motor and sit around drinkin' cold beverages for an hour. THEN pull the plugs, but not before - it's a terrible thing to work spark plugs on a hot VW motor, since it's an alloy head and a steel plug, and the spark plug sockets like to strip bad enough already! The spark plugs are guaranteed to show the problem. If you idle back into the garage the oil might burn off and you're back in the philosophical quagmire of which-cylinder-hates-me.
Thoreau would have said SIMPLIFY, run it till it drops then buy a new motor. Emerson might have wrote RAGE, RAGE against the dying of the baja motor. Thoreau sat around in the woods too much - must've been a lazy bastard, eh?
SandLizrd says, what the hell, my local head shop charges maybe $120 average to investigate and re-work the average pair of heads. Average head needs a valve or two, and possibly a valve guide or two, and the shop does a cylinder open-up as standard practice.
Rings are as little as $17 for a set. Total-Seal rings are $65 for a full set, or $50 for the 2nd ring only. A full piston & cylinder set is as little as $85. I've paid more for an alternator!
The added expense(s) would include rubbers for the pushrod tubes (49 cents each), motor oil (so what), ring compression tool ($10 if you don't already have one), and I truly can't think of anything else!
Of course, there's the knowledge factor here. Pulling & installing heads is a little bit fussy, since there's a torque requirement and a bolt-pattern to keep from warping your heads. Also, you must go back & re-torque the heads a few hundred miles later. Cylinders sometimes have spacers underneath them for compression adjustment - these are a pain, but not a real problem. Pistons install in a certain direction. Rings line up in a certain pattern, with the ring gaps positioned just so. Old cylinders with new rings sometimes have problems with seating, since the cylinder is already polished smooth & doesn't cause enough action for ring-seating. Many would quick-hone the cylinders just to scuff 'em up a touch.
I recommend the Idiot Book - How to Keep your Volkswagen Alive - VW Repairs for the Compleat Idiot, by Muir, $30. Or, get someone to help you re-assemble. It's a one-hour job when all goes well. And finally, remember to be nice to your motor during break-in miles! After a valve/ring replacement you must be nice.
So the bottom line is,
As always, this SandLizrd knows there's more to be said!