I don't own a CX-5 but I have used the info from this forum and other CX-5 sources (Russian and Chinese) to retrofit paddle shifters on my 2014 Mazda 6 AT Touring. I don't know for sure that this will work on your CX-5's, I suspect that it is the same.
Total cost around $200 for parts/shipping. I needed:
GJS2-66-3P0B - Paddle shift switches w/wire harness and screws. $80.00
GJS2-32-049 - Rear cover for steering wheel. $78.25
GJS2-66-4M2 - Wiring to adapt to non-paddle equipped cars. $21.72
A comprehensive shop manual is HIGHLY RECOMMENDED anytime you work on your car. Mine is available all over eBay on CD or download for under $15.
I bought the parts from OEMMazdaParts.com but a google search of the individual part numbers will yield the best prices. And prices do vary from supplier to supplier.
On most of the parts websites it will offer two different back covers. One is around $7 and one is waaay more. The cheap one is the one I already had and it will not work with the paddles. The other one will say it's for leather, whatever that means. There is no leather but that's the one I needed.
You'll have to disconnect the battery, remove the airbag and steering wheel, replace the back wheel cover, add the paddles, and replace the wheel wiring harness with GJS2-66-4M2. This took me less than 2 hours and it was all plug-n-play. No adding pins to connectors or even a lug to ground, and no removal of the steering column shrouds.
Hope this helps anyone contemplating doing this mod.