I can crank out a downpipe pretty easy now. Although it's extra work, taking out the manifold makes the job a bajillion times easier. There are some tricks that you'll need to do too. You will NEED two people, and a lift is a big bonus (I had mine on stands). You'll need to remove the bottom motor mount, as well as loosen the top left one. Have a buddy underneath the car moving the engine (carefully!) back and forth while you're on top solving the mystery of how Mazda got that fucker in there in the first place. Curse some more and you'll get it. Putting the aftermarket one in there is pie. The gains are bar none the best you'll get from a bolt-on. Do it. It sucks ass, but it's worth it.
edit: Definitely get a cat-back to go along with it. You've seen the cornmaze that is the stock exhaust, right? Once you get the downpipe though, you'll get into the stage 2, and will want/need an upgraded intercooler, fuel pump internals, diff. and engine mounts, etc. It's a vicious cycle...