Don't go the FM modulation route.
I did that at first and it's fine and all, but I added the AuxMod the the HU and hardwired the receiver to the HU.
The sound difference is VERY noticeable. It returns the sound back to CD quality with heavy bases and crisper mid-ranges.
Do the AUXMOD or get the Mazda Sirius kit for $300 via one of the online Mazda dealer shops.
I'm currently even ditching the aftermarket unit, and installing the Mazda kit. I hate having extra crap laying/hanging around. I had to hide mine in the center console, but it's lame lifting the lid to change channels while driving.