Does it sound like the coolant is percolating?
I've heard a little of that over around the turbos is normal.
What is your water temp guage doing? If you're getting that much heat in your exhaust what is the temp in the engine compartment like?

 

you used oem thermostat for the rx7?

did you get rid of all the air in the radiator?

waterpump is a good place to look, how old was the old coolant? If it was real old, you pump is probly ruined.

the glowing dp could be clogged exhaust. but if it's glowing when the car is shut and not when it's running, I would be curious why

 

My exhaust randomly gets hot enough to cause a burning paint/plastic smell, then doesn't do it for a while, especially when at the mechanics shop. Also occasional gas smell. I suspect an intermittant gas leak into the exhaust system. Occasional stumbling cold start like rich mixture. I don't know the internal details too well, can a sticking injector cause these problems?
Any other potentially guilty parts?

 

It is probably a clever Mazda quarterly check of the exhaust overtemp warning system,
activated by an injector dumping a pint of gas into the cat converter.