Several people over at the mazda3forum have used the audio link without problems, though I'm sure you'll find the occasional dud with any method.
Here's a quick breakdown of the options available for you. If anyone sees something I've forgotten please let me know.
- Line in only. Provides RCA inputs through the sirius/CD changer jack on the back of the HU. ~$100 http://www.discountcarstereo.com/detail.aspx?ID=445
(you also need the ALP/M RCA connector) http://www.discountcarstereo.com/detail.aspx?ID=124
Aux Mod Basic
- Line in only. Provides 3.5mm input through the Tape/MD jack. ~$55 http://www.sylfex.com/products/AuxMod/
- Full Integration with steering wheel controls. Provides a line in plus either a ipod dock connector or a USB plug, and charges the ipod. Connects through the sirius/CD changer jack on the back of the HU. ~$140 http://www.therpmstore.com/index.php...03e6
Aux Mod Advanced
- Not yet released will give full ipod integration with steering wheel controls. Provides a 3.5mm line in with connections to a dock connector. Should also integrate with WinAmp. connects through the Tape/MD jack on the bottom of the HU. ~$150 http://www.sylfex.com/products/AuxMod/
- Full ipod integration with steering wheel controls. Connects to ipod with dock connector, and into the sirius/CD changer jack on the back of the HU. Charges the ipod. ~$220 http://www.mp3yourcar.com/productdet...&productID=617
a thread with links to pretty much all of those, and links to discussions about them.
for a walkthrough on installing the sylfex Aux Mod. the install it pretty similar for the Audio Link.... just plug it in in a different place. As to where to mount it, you can put it in the glove compartment if you want. You could also run it to the ashtray, and some people have mounted it right underneath the HU (where the tape deck would be).
Hope that helps.