i dont know much about mazdas but i know you may run into a problem that you wont be able to do that is your radiator may need tranny cooler lines for the trans and which you may not have that since your running a manual trans. Plus, why dont u just put a manual trans back in it, cause it seems like a waste for the clutch pedal and all.
you'll need the pedal assembly, clutch master cylinder, slave cylinder, the line that goes between the 2, tranny, flywheel, clutch (disc, pilot bearing & pressure plate), throwout bearing, shifter assembly, & you'll need to check the legnth of the 2 trannys (auto & man) to see if your driveline will fit. also see if your speedometer cable is mechanical or electric. if it's mechanical (most likely) see if the tranny input gear is the same, if not you'll need the speedo cable too.
also see if the mounts on the crossmember are the same...
it's a very simple swap since your model maz came with both trannys so there are already existing bolt holes. just out with the old & bolt in the new.
as far as the radiator, a simple phone call to your local radiator shop will answer the question of if it's safe to just plug the cooler line holes in your existing one. if not, you might need that too.
good luck & i'm sure there's a thing or 2 i missed, but it's such a simple swap that it should be fairly self explanitory.