Mazda has basically used the same splines for their steering shafts since the begining of time. Miata, rx7, and protege I KNOW for a fact all use the same setup. HOWEVER the airbag plug and wiring may be a completely different story. The 3 probably uses the same hub design but I would have to check into that some more.
As for the seats...it can be done velocifero, scratch n sniff, and rogue are members I know have had them installed in their car. It does take some fabrication to get them to mount on the stock protege brackets though, and from what I understand its and uber b**** to get the old speed3 brackets off.