Tried to compile a list of everything that is required and all the information I used to perform the upgrade in one spot. I spent a lot of time searching through random forums posts on here to get all the values I was interested in. Hopefully this will make someone elses life easier.
First off speaker sizing:
Front Doors: 6 1/2
Rear Doors: 6 1/2
Dash Speakers: 3 1/2
Speakers I used:
Front Doors: http://www.crutchfield.com/S-DmAvXbljbbq/p_108R6502IX/Infinity-Reference-X-REF-6502ix.html
Rear Doors: http://www.crutchfield.com/S-DmAvXbljbbq/p_108R6502IX/Infinity-Reference-X-REF-6502ix.html
Dash Speakers: http://www.crutchfield.com/S-eTGwHIhlZqb/p_108R3002CX/Infinity-Reference-X-REF-3002cfx.html
Other things used:
Front Door Speaker Adapter: http://www.car-speaker-adapters.com/items.php?id=SAK102
Rear Door Speaker Adapter: http://www.car-speaker-adapters.com/items.php?id=SAK112
Front Door Baffles: http://www.crutchfield.com/p_237XT60/XTC-6-3-4-Speaker-Baffles-4-1-2-depth.html
Rear Door Baffles: http://www.crutchfield.com/p_237XT60/XTC-6-3-4-Speaker-Baffles-4-1-2-depth.html
Dash Speakers Bass Blocker: http://www.crutchfield.com/p_127BB6...t-off.html?search=600hz_bass_blocker&skipvs=T
Dash Speaker Wiring Adapter: http://www.memoryexpress.com/Products/MX5934 I only used the connector and not the wires that comes with this part as I was not keen on using 26AWG wiring inline with the dash speakers. In theory it should be fine as they are 25W at 4omh speakers but it does put you pretty close to the limit on that cable for current so I soldered leads onto the connector...
Full Size Pictures: http://imgur.com/a/MxyfW
This first part is important and tells us we need speakers in the 3-4 omh range if we want to retain roughly stock loudness without having to get an amp entered into the equation. Try to pick speakers that have an RMS range down in the 5-10W range for best results if you are going to go without amplification.
This drawing here makes it pretty easy to solder and splice into the wiring for the speakers. You can see the front speakers are wired in parralel with the front dash speakers hence the need for the bass blockers. You do not want to push that much bass through small 3 1/2 speakers.
Installation:
Start by removing the door panels/stock speakers refer to this excellent set of instructions: http://www.paulstravelpictures.com/Mazda-CX-5-Interior-Door-Panel-Removal-Guide/
Onto pictures! I can add clarifications on any point that people may be confused about if anyone would like some added clarification but you know what they say... Pictures are worth a thousand words. Full size pictures: http://imgur.com/a/6yk6y
Pictures of the adapters very nice quality pretty happy with them and it saved me a bunch of time.
Pictures of the speakers and their baffles
Speakers sitting in their baffles and adapters
Speakers with their pig tail wires added
Door panel removed. Having a look at the stock speakers.
Put the panel someplace safe so you don't scuff it all up...
The front door with the window rolled down. You can see the speaker might be a tight squeeze if you were to have a very deep speaker. The baffles fit in fine at 4 1/2 with the adapters.
Adding dynamat to the door where the adapter will sit
Adding in the baffles and adapters. I ported the baffles.
Speaker all screwed in and installed. Just have to wire it into the car speaker wiring harness. I soldered and spliced into the wiring.
Tucking away the wiring to make sure nothing rattles.
Onto the rear door. Here's a look at the stock speaker with the panel removed.
Rear door with the window down and the stock speakers removed.
Adding dynamat where the adapter will rest against the door.
Adding in the baffles and the adapters.
All done wires all tucked in behind the dynamat. Splicing and soldering complete!
Right dash speaker with the cover removed
Left dash speaker with the cover removed
Right dash speaker with the speaker removed
Left dash speaker with the speaker removed
Left dash speaker about to be installed note the bass blocker and the wiring adapter
Close up of the wiring adapter that was soldered onto the other end with the 26AWG wiring removed
Decided to cut off the plastic that was hanging down from the dash speaker grills. It looked like there might be clearance issues where it would pinch the speakers. I just used some wire cutters and cut off the ring that hangs down.
And that's a wrap. Hopefully this is of some use to someone
First off speaker sizing:
Front Doors: 6 1/2
Rear Doors: 6 1/2
Dash Speakers: 3 1/2
Speakers I used:
Front Doors: http://www.crutchfield.com/S-DmAvXbljbbq/p_108R6502IX/Infinity-Reference-X-REF-6502ix.html
Rear Doors: http://www.crutchfield.com/S-DmAvXbljbbq/p_108R6502IX/Infinity-Reference-X-REF-6502ix.html
Dash Speakers: http://www.crutchfield.com/S-eTGwHIhlZqb/p_108R3002CX/Infinity-Reference-X-REF-3002cfx.html
Other things used:
Front Door Speaker Adapter: http://www.car-speaker-adapters.com/items.php?id=SAK102
Rear Door Speaker Adapter: http://www.car-speaker-adapters.com/items.php?id=SAK112
Front Door Baffles: http://www.crutchfield.com/p_237XT60/XTC-6-3-4-Speaker-Baffles-4-1-2-depth.html
Rear Door Baffles: http://www.crutchfield.com/p_237XT60/XTC-6-3-4-Speaker-Baffles-4-1-2-depth.html
Dash Speakers Bass Blocker: http://www.crutchfield.com/p_127BB6...t-off.html?search=600hz_bass_blocker&skipvs=T
Dash Speaker Wiring Adapter: http://www.memoryexpress.com/Products/MX5934 I only used the connector and not the wires that comes with this part as I was not keen on using 26AWG wiring inline with the dash speakers. In theory it should be fine as they are 25W at 4omh speakers but it does put you pretty close to the limit on that cable for current so I soldered leads onto the connector...
Full Size Pictures: http://imgur.com/a/MxyfW

This first part is important and tells us we need speakers in the 3-4 omh range if we want to retain roughly stock loudness without having to get an amp entered into the equation. Try to pick speakers that have an RMS range down in the 5-10W range for best results if you are going to go without amplification.

B = Black
W = White
R = Red
G = Green
L = Blue
Y = Yellow
LG = Light Green
BR = Brown
OR = Orange
P = Pink
PU = Purple
GY = Gray
SB = Sky Blue
CH = Dark Brown
DG = Dark Green
This drawing here makes it pretty easy to solder and splice into the wiring for the speakers. You can see the front speakers are wired in parralel with the front dash speakers hence the need for the bass blockers. You do not want to push that much bass through small 3 1/2 speakers.
Installation:
Start by removing the door panels/stock speakers refer to this excellent set of instructions: http://www.paulstravelpictures.com/Mazda-CX-5-Interior-Door-Panel-Removal-Guide/
Onto pictures! I can add clarifications on any point that people may be confused about if anyone would like some added clarification but you know what they say... Pictures are worth a thousand words. Full size pictures: http://imgur.com/a/6yk6y
Pictures of the adapters very nice quality pretty happy with them and it saved me a bunch of time.

Pictures of the speakers and their baffles

Speakers sitting in their baffles and adapters

Speakers with their pig tail wires added

Door panel removed. Having a look at the stock speakers.

Put the panel someplace safe so you don't scuff it all up...

The front door with the window rolled down. You can see the speaker might be a tight squeeze if you were to have a very deep speaker. The baffles fit in fine at 4 1/2 with the adapters.

Adding dynamat to the door where the adapter will sit

Adding in the baffles and adapters. I ported the baffles.

Speaker all screwed in and installed. Just have to wire it into the car speaker wiring harness. I soldered and spliced into the wiring.

Tucking away the wiring to make sure nothing rattles.

Onto the rear door. Here's a look at the stock speaker with the panel removed.

Rear door with the window down and the stock speakers removed.

Adding dynamat where the adapter will rest against the door.

Adding in the baffles and the adapters.

All done wires all tucked in behind the dynamat. Splicing and soldering complete!

Right dash speaker with the cover removed

Left dash speaker with the cover removed

Right dash speaker with the speaker removed

Left dash speaker with the speaker removed

Left dash speaker about to be installed note the bass blocker and the wiring adapter

Close up of the wiring adapter that was soldered onto the other end with the 26AWG wiring removed

Decided to cut off the plastic that was hanging down from the dash speaker grills. It looked like there might be clearance issues where it would pinch the speakers. I just used some wire cutters and cut off the ring that hangs down.

And that's a wrap. Hopefully this is of some use to someone
