I'm new too but here is what I have read. Auxiliary input is the best option for sound quality, and it's cheap, if there is a port on the back or if an adapter is available. My understanding is that this is the best option because the signal doesn't have to go through the cassette adapter and cassette deck, nor short-range FM radio, nor go through the antenna and radio circuitry, any of which might add noise or change spectral characteristics.
There are many threads and sources about this if you use google or the forum search function. Here are two threads where people have asked similar questions specifically about the Mazda6.
http://www.msprotege.com/forum/showthread.php?t=25977&page=2&pp=15
http://www.msprotege.com/forum/showthread.php?t=51467
There are some other Mazda forums and some iPod forums which cover similar issues so some time with google could answer your question.
I don't know where it settles out and here is where someone else probably has more information. My impression is that the 6 stock unit does not have an aux input on the back but I could easily be wrong, especially if the 6 has a stereo option which might have the aux input. In fact you could discover this by taking out the stereo and looking at the back, or if you're really squeamish the dealership could tell you if you called 'em.
Something that applied to my old car was that it didn't have an aux out, but you could get an adapter from places like Blitzsafe or PIE (do web searches) which plugged in and gave you RCA inputs. I'd rate this as unlikely for the Mazda, but there is no harm in looking it up.
If there is no port or adapter, you could consider getting a new head unit which has an auxiliary input (or which plays mp3s burned to a cd, if the portable isn't crucial). This runs a little expensive but could be the neatest solution. I am not sure if there are special considerations for the 6 here.
If that doesn't work for whatever reason, you are stuck with the modulator or cassette adapter or transmitter.
The whole thing is not really as simple as you might hope for Mazdas... at any rate you will probably have to do some kind of footwork, and it is quite possible that you don't really have any option other than FM modulation or head unit replacement. Good luck!
