My dealer installed the LED DRL. Its an orignal mazda part.. about 350 Euro.
http://www.aho24.de/shop/index.php?cat=c251_Mazda-CX-5.html
Instructions in english too for halogen or bi-xenon headlights: http://www.aho24.de/shop/media/products/0102259001330946475.pdf
Im running xenon headlights...