I was just snooping around on CarDomain this morning and I came across this guys page. He has a pretty detailed page by page walkthrough of how to install a system as well as a line level converter in your 3... it has a lot of pictures as well so it's easy to follow.
Thanks to Rich at CarDomain.

The vehicle used for the walk-through is a 2004 M3 5-Door

Rich's 2004 Mazda 3 (http://www.cardomain.com/ride/495957)

Hope this helps some of you out there who want to DIY. Enjoy =)

Thats neat, its good to know how to do it but i have none of the tools required so, im just have a pro have a go at it.