I had the dealer do it on my factory cloth seats on my wife's Honda Civic. It smelled like burning for awhile and then was fine (most seat heaters go into leather seats). They are amazing in the winter, although I wish they did your upper back instead of just your thighs & lower back.
If you want to do it the EASY way, buy high-quality seat covers with built-in carbon fiber seat warmers. Wet Okole's seat covers start at $317 for the front two bucket seats with seat-heaters ($239 covers + $78 heaters, requires 2 power outlets) & you can customize them in a variety of ways (colors, lumbar support, etc.):
http://www.wetokole.com/mazda_cx5_seat_covers.html
So the benefits of doing heated seat covers:
1. You get seat covers to protect the seats
2. No damage to OEM seats from installing an aftermarket heating system
3. Carbon-fiber elements allow for continued operation after damage (regular heaters are apparently like Christmas lights and if one part gets damaged, the entire heater system quits working)
4. At $317 for the front pair with heaters, it is expensive, but it's a lot cheaper than what you would probably pay at the dealer (I think the total dealer-installed cost in the Civic as $600 or so, but we had a credit we could blow on whatever we wanted since we were trading in a leased Fit and they threw that in as an incentive, so we blew it on the seat heaters since we didn't really want anything else - and I think they just farmed it out to an aftermarket installer shop down the road from them).
They have a Mazda install gallery here:
http://www.wetokole.com/mm5/merchan...=Mazda-Seat-Cover-Gallery&show=&pl=&ph=&char=
So there's one option for you. And if you're handy, you could probably integrate the power outlets into built-in on/off button system without too much hassle.