I just installed the Mazda Sport Shifter GRMS-8M-H12 into my 2006 Mazda6 Sportwagon last week, and I would recommend it. I have a couple of comments which may help others.
Remove the center console, as recommended by Newumbrella in a Sep 1, 2006 post to this thread. It will get rid of the interference problem with a metal bar above the shifter cables described by Regulator in an August 28, 2006 post to this thread. Also, it will permit the use of the 1/4 inch extension to remove the black shifter cable clips from the shifter base quickly and without damage, as described by Kwikshift in an April 5, 2006 post to this thread.
Use the neoprene strips in the shifter cable grooves only if they take up all the slack and still permit the shift cables to clip back into place. Noise may result if slack exists. In my case, the center cable was able to use the neoprene and click into place with no play, but the right hand cable would not clip into place and stay put with the neoprene - the neoprene was too thick. I ended up using 2 pieces of electrical tape cut to the same length and width (but only about half the thickness) as the neoprene strip instead, which removed all play and all noise due to slipping of the cable in the shifter base.
Finally, DO NOT TIGHTEN THE FOUR NUTS TO THE SHIFTER BASE WITH 33 FOOT POUNDS OF TORQUE! IF YOU DO, YOU WILL BREAK THE STUDS! Using a high quality beam torque wrench with a ratchet, I kept tightening one of the nuts to the 33 foot pound limit, until it stretched and broke at about 28 foot pounds. The stud I broke was one of the rear studs, and it was tack welded to the cross member which goes under both front seats, so the studs are not removeable. Fortunately, I was able to screw a coupling nut (about 3/4 inch long, which I trimmed to just over 1/2 inch) with the original metric thread onto the 3/8 inch long broken stud sticking out of the floor of the car, and screw another stud into the coupling nut. Avoid the entire problem by tightening these four nuts to a reasonable level - but nowhere near 33 foot pounds. Half that amount would be plenty, in my opinion.
The Mazda6 Sport Shifter (which is actually a Mazdaspeed part) reduced the throw from 1st gear to 2nd gear to about 2 3/4 inches, compared to about 3 1/2 inches measured from the bottom of the shift knob to the console containing the audio system. The car is much more pleasant to shift after this modification.
Good luck if you choose to do it!