Fix
So I think I've figured this out. I had the caliper off of the car, cleaned the whole thing, re-lubed everything, and it seemed to be working just fine...until I put the new pads into the caliper. The ouside pad holder (don't know technical term for this part of the caliper) fit VERY snugly around the pad, so when the pad was installed, you couldn't move the caliper easily.
I filed away at one of the steps of the pad (middle, vertical step), and the pad fit loosely into the assembly like it should.
My theory is that Mazda had a group of calipers that were machined to the low side of the tolerance (or perhaps under the tolerance), and this is causing the pads to fit so tightly that they can't release from the disc when you take your foot off of the pedal. This causes them to overheat and burn out.
Made this fix at Xmas of last year (2003) and haven't had a problem since.
Hope this helps. Sorry it took me so long to post back.