My GXL didn't come with it, but I'd like it. Is this possible?

 

its possible, it was dealer installed option and last year there were those kits on sale at mazdaformance.com

or u pull all necessary parts from other car

check factory shop manual for list or related parts

 

I got most of the parts off mine. Its not a daily driver so I ditched the A/C, power steering and cruise control. Let me know if there is something you think you might want. Its all going to the junk yard soon.