In case you aren't already aware of this, the 04-06 Mazda 3 uses the same bulb for the low-beam headlight as well as the Daytime Running Lights (DRL). This causes some problems with the installation of aftermarket HID kits, causing the bulbs to flicker. There are several workarounds, including splicing into the parking lights, disabling DRL, using a premade anti flicker device etc. After much research, I found that you can use a DIY solution, all while retaining DRL function, and no splicing of stock wiring.
Required things:
1. HID Kit with Relay Harness - I ordered mine from Import Tuning (sp3GT)
2. 4700 µF Capacitor - I used a 16V one, although 35V will also work
3. ~1hr time
Part 1: What is included in the HID kit, and a review of the Import Tuning kit
2 Slim ballasts - I was surprised how "slim" the ballasts were. Most pictures I've seen of other kits came with much larger ballasts.
Relay Harness
Bulbs x 2 - I ordered 8000k
Part 2: Prep work
Relay Harness
Bulb - You need to cut up the rubber piece holding the 4 wires together, separating the bulb from the other set of wires. You will only need the wires off one bulb, but keep both rubber pieces and use them as bulb spacers. Slip the rubber piece behind the back of the bulb in lieu of the H7 bulb spacer.