Making a sticky to tune is a pain in the ass because every system is completely different. When i get the new standback thats coming out, i will post some how to's as i get familiar with the system.
I tune for WOT with a Wideband. Boosted cars should be tuned this way because you want to stop any possible detonation from occuring, whether it may be tip in detonation or through the powerband. Tuning for part throttle is less important since youre not going to be in boost and notice anything. You can tune for part throttle but you need to pay attention to parameter changes and test the results at WOT because youre usually removing fuel for part throttle tuning to smooth the powerband out.
As far as knock detection, since all ive used are noisey modular ford motors, ive never used a device. Infact, my lightning had stock knock sensors install from Ford, but they are disconnected from the factory if that tells you anything, lol. A friend of my with a Buick GNX swears by his knock sensor setup. I forget the company's box he uses, but it pulls timing out and records the knock history. I dont know if you will be able to wire this sort of setup into the Mazda ECU though.
Im familar with Diablosport and know Patrick personally. Although their system works well in the diesel world, their Ford gasoline stuff left a bad taste in my mouth. I went with SCT software and never been happier. Boosted applications are much different than naturally aspirated, so keep that in mind when you hear people tuning part throttle.