I was wondering about these myself. How is power supplied to these things?
I don't have them (opted for the non-lighted set of 4), but from what I saw online, they are battery-operated (user replaceable). I believe the actual sill is two pieces, a top and a bottom, and you can pry the top portion off to get to the battery. They also light up via magnet when you open the door, and shut off when the door is closed. The magnetic thing is a separate piece that installs underneath the actual door.
I got them from med center mazda (sponsor of this site).
mazdaparts.org
>$100 no S&H.
Be aware of the dealer's 20% coupon.
Often times, they jack up the price and give you 20% off.