Here is a link to the thread I started on the Mazda3 forum that I go to. Sounds like the lenses and such are the same in the Mazda3 and Mazda6 headlights. FYI you will definitely want to do this while your bumper is off already. That was the hardest part of doing the install for us.
http://www.mazda3forums.com/index.php?topic=146422.0;topicseen