Thanks! After looking at prices for these adapters, I figure I don't want to pay $15+shipping for them.

Just ordered the speakers! Whoo!

Gonna go to Home Depot to pick up MDF later... I didn't know what MDF was until a few minutes ago (Google to the rescue). Are there any plans/diagrams available online so I can drill 6.5" to 5x7 holes without waiting for the speaker to arrive or taking apart the door?

 

While I prefer the MDF for adaptors, make sure to seal them up, weatherproof the cain out of them. Maratime sealer does a great job.
When you remove the interior door covering you will see why. There is a layer of plastic right underneath the panel that is sealed onto the door frame. It is a water vapor/barrier. In essence the back of the speakers in exposed to the elements, like water. When you remove the stock speakers you will find black plastic sheilds on the backs- these are covers to aviod water dripping directly down a partially open window on the the magnets and spyders( the waffle looking rear end of a speaker cone- vital to it's function) directly. Also there are these cool little drain vents of the bottoms of the doors themselves to let water out.
Mazda chose to make the interior edge of the door the water barrier line, not the middle or the exterior edge of the door. What this means is two things- first Protege owners need to try to recycle the place plastic covers, or come up with an alternative method of not allowing water to get directly at the cones or spyders. Second that even if one protects the cone and spyders from direct mosture, there will be a good deal of indirect mosture that will get at the speakers.
That alone has some implicatons. First not only find speaker you like the sound of (The CDT stuff is very good to my ear- interesting company but that is another post!) make sure you will be able to protect the spyders, and the material of the spyders does matter. Try to find speakers you like with at least cloth spyders that have been weather sealed at the factory, and not all speakers have this, indeed many high ind speakers do not. Second- no matter how much we love our speakers, they will have finite life spans because of prolonged exposure to the elements.
Back to the MDF, it will swell if exposured to excessive mosture, most notably where you might have drilled holds in it. Seal it up and all over including any bolt holes and the rim of where the speaker will fit in. I use aviation or maritime paint and deadening both when I use MDF. As I am getting more lazy as I have grown older I now get the plastic modification frames (I actually keep them on hand in my shop out back) and then deaden the heck out of them and use them.
Good Luck- reading back through the post you have gotten some very good advice from some top noch fellows here!!

 

I think rider 69 answered this but yes, it is a logical progression to get the speakers and then build the rest of the system. The stock headunit is a very good signal source, and despite what we would all like to think, our ears cannot tell the differece between one CD source and another, our ears are not that good!
Where stock does fall short is power. I have benched a stock double din unit and measured it- 12 watts max power with distortion starting in at 8 watts. Kinda amazing that it can be as loud as it is with that little power huh?
Distortion is what to watch for while you run new speakers and the stock amp section. Distortion can kill your new speakers and potentially burn the outputs of the radio.
By the way, the stock speakers are as loud as they are because they were built that way. No Joke, they are thin paper with low magnet weight, so they have very high efficiency.
Contemplate the possibility of keeping the stock headunit if you like it and just amping it.
Several folks here are experts on that subject....
Let us know how it goes-