I tried to program using the new remotes I bought several years ago for my Protege5, but it did not work. The vehicle went into "learning mode" properly, but the remotes would not pick up the signal. So, I assume the procedure itself works fine.
Next week I will be getting a remote starter installed, which comes with two remotes. These will be replacing my Mazda remotes, which are aging (a bit rough looking and not too responsive to input - batteries are probably weak).
Maybe this thread will help someone else though.
Cheers, Mark