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Pretty straightforward install, but I like having a nice play by play guide when doing installs, and it seemed this how-to with pictures and steps was lacking all over the internet. I took the time to snap off some DSLR pics throughout my install so the next guy looking to do this knows exactly what to do!
Firstly, you need to get yourself a proper kit. I went direct to DDM here:
HID Kits, BMW Aftermarket Bumpers & Lighting, DEPO - DDM Tuning
DDM sells 35W and 55W kits. The 2010 MS3 takes an H11 for low beams. Most factory HID kits are 35W 4300K, so if you want a stock look the 4500K or 5000K kits are perfect. 6000K starts to look far more blue. A 55W will be brighter but it also requires the relay kits they sell, and I hate messy wiring. I went with the 35W 5000K kit.
Here's the kit layed out, along with some other goodies for the install (alcohol swabs, electrical tape, double-sided mounting tape, wire loom)
In the DDM slim kit you will get one of two types of connectors, either a male connector (pictured as A) or spades (pictured as B)
The connector connects to the stock harness, but the polarity is reversed. You should ideally pull out the wires and switch their places, or you can do it honky style and just jam the connector into the stock harness. If you get spades, you can plug them directly into the stock harness, or you can find yourself a set of H8/9/11 male connectors and put the spades through them, basically giving you what the other kit comes with. It's too easy for the spades to get knocked loose or wet, so I opted for the connectors. I found them on eBay for $5.50 shipped.
Here's the grommets placed on the spades/wires prior to installing them into the connector
Alright, now we're ready to roll. Time to grab the puppy
And a cold brew
And off to the garage! Here's a before shot with my stock H11's and a set of Hoen Endurance fogs. FYI, the fogs are also H11 bulbs.
EDIT: This is only true of the Mazdaspeed3. For the regular Mazda3, the fog lights are 9006, not H11.
To be on the safe side during the install, disconnect the negative terminal from your battery. Prior to this, jot down or snap a pic of your FM/AM presets as they will be erased along with the clock and one-touch window down (to reset it, start car, hold drivers window down for 5 seconds, then hold it up for 5 seconds).
After you've done that, locate your headlight bulbs/connections. Drivers side looks like this
Passenger side looks like this
Disconnect the bulb harness on either side, doesn't matter where you start. Depress the tab on the connector and pull down, do this with the bulb in the housing, it just makes it easier. Pay attention to where your positive and negative wires are at, as you need to feed the proper wire through the new connector or you'll have things reversed and your bulbs will never turn on.
Feed the spades through the new connector, and push the grommets into the back of the connector to seal the wires off.
Front side now looks like a normal connector, the one you'd have if you didn't get the spades.
No pic here, but at this time you should take the bulb out of the plastic case, taking care not to touch the ignitor or bulb glass. The small part of the plastic case has to slide off all of the wiring, kind of stupid of them to do, but hey, it is what it is. Also take some scissors and cut off the remaining clear plastic ring which prevents the red seal from moving back over the plastic mount for the bulb. Then slide the seal back over the mount, otherwise you'll never get the bulb in the housing.
Assemble the rest of your kit as shown, it's all easy to pull apart later when hiding wiring so don't worry about that being an issue
This can be done out of the car, but I was moving too fast and was lazy. Put some electrical tape on the rear of the new connector where it meets the wires, just a little extra protection in case the grommets pop loose.
Plug in your headlight which sounds easy, but without the 90 degree elbow of the stock bulb it kinda stinks. I placed the bulb in the housing then used the 10mm wrench I had used on the battery terminal to help me turn the bulb into position. Make sure the wires aren't touching any moving parts, then reconnect the negative terminal and give the setup a test run. Better to find out you've got a bad bulb or HID ballast before you go hiding wires and securing everything.
Tada! If it looks like that, you done good son. If not, look over your connections once more, making sure the polarity isn't reversed at the spade/connector/stock connector hookup, as this is the most common issue. Your ballast may hum, but as the bulb warms up it goes completely quiet. If it keeps humming, you might have a bad connection or a bad ballast.
Now disconnect the battery again and do the other side. Give it a test run as well. Next up, hiding the ballasts and wires so the stealership won't harass you when you take it in for an unrelated issue.
I started on the driver's side. I wrapped all loose wires with wire loom and taped the ends close with electrical tape to keep any water/gremlins out, then secured everything with the included zipties. Also make sure to feed the rubber protector for the bulb as close to the bulb as possible. I couldn't find a way to make it sit flush against it because of the connectors for the harness.
I tucked the ballast just under the fender and the in-line fuse thingamabob right near the fuse box. Clean the mounting areas well with alcohol, put double sided tape on the kit (not the car) and apply pressure for at least 30 seconds to get a nice seal.
In the back you can see the ballast mounted down
Also, remember to drink your beer.
Now for the passenger side. There's more junk on this side so it's not as easy to work on, but it's no big deal.
I mounted the in-line fuse thing just under the stock harness wiring connection, fit perfect down there.
Ballast went in essentially the same place as the other side of the car.
Look over everything, make sure you're happy with wire placement, then reconnect the negative terminal, redo your radio presets, and enjoy your new HID's!
When my 35W 5000K bulbs initially come on they are very blue
Give it a minute and it chills out to a nice crisp white with a small hint of blue
The kit is very well worth the money (a measly $50 shipped), but to be honest I'd get the Raptor kit next time. It's $10 difference, but you get the sealed H11 connector instead of wondering which one you'll get (EDIT: not true all the time, but it seems more people get the connectors than with the Slim kits), and the 3 prongs for the bulb where it slides into the housing are metal instead of plastic like the Slim kit. The ballasts are bulkier in the Raptor kit but they're not that hard to hide either, just a bit more noticeable. Everything else about the kits is essentially the same. Read about all that in my research, not sure if it was here or elsewhere.
Hope someone finds this helpful. Any questions feel free to PM me!
Firstly, you need to get yourself a proper kit. I went direct to DDM here:
HID Kits, BMW Aftermarket Bumpers & Lighting, DEPO - DDM Tuning
DDM sells 35W and 55W kits. The 2010 MS3 takes an H11 for low beams. Most factory HID kits are 35W 4300K, so if you want a stock look the 4500K or 5000K kits are perfect. 6000K starts to look far more blue. A 55W will be brighter but it also requires the relay kits they sell, and I hate messy wiring. I went with the 35W 5000K kit.
Here's the kit layed out, along with some other goodies for the install (alcohol swabs, electrical tape, double-sided mounting tape, wire loom)

In the DDM slim kit you will get one of two types of connectors, either a male connector (pictured as A) or spades (pictured as B)

The connector connects to the stock harness, but the polarity is reversed. You should ideally pull out the wires and switch their places, or you can do it honky style and just jam the connector into the stock harness. If you get spades, you can plug them directly into the stock harness, or you can find yourself a set of H8/9/11 male connectors and put the spades through them, basically giving you what the other kit comes with. It's too easy for the spades to get knocked loose or wet, so I opted for the connectors. I found them on eBay for $5.50 shipped.


Here's the grommets placed on the spades/wires prior to installing them into the connector

Alright, now we're ready to roll. Time to grab the puppy

And a cold brew

And off to the garage! Here's a before shot with my stock H11's and a set of Hoen Endurance fogs. FYI, the fogs are also H11 bulbs.
EDIT: This is only true of the Mazdaspeed3. For the regular Mazda3, the fog lights are 9006, not H11.

To be on the safe side during the install, disconnect the negative terminal from your battery. Prior to this, jot down or snap a pic of your FM/AM presets as they will be erased along with the clock and one-touch window down (to reset it, start car, hold drivers window down for 5 seconds, then hold it up for 5 seconds).

After you've done that, locate your headlight bulbs/connections. Drivers side looks like this

Passenger side looks like this

Disconnect the bulb harness on either side, doesn't matter where you start. Depress the tab on the connector and pull down, do this with the bulb in the housing, it just makes it easier. Pay attention to where your positive and negative wires are at, as you need to feed the proper wire through the new connector or you'll have things reversed and your bulbs will never turn on.

Feed the spades through the new connector, and push the grommets into the back of the connector to seal the wires off.

Front side now looks like a normal connector, the one you'd have if you didn't get the spades.

No pic here, but at this time you should take the bulb out of the plastic case, taking care not to touch the ignitor or bulb glass. The small part of the plastic case has to slide off all of the wiring, kind of stupid of them to do, but hey, it is what it is. Also take some scissors and cut off the remaining clear plastic ring which prevents the red seal from moving back over the plastic mount for the bulb. Then slide the seal back over the mount, otherwise you'll never get the bulb in the housing.
Assemble the rest of your kit as shown, it's all easy to pull apart later when hiding wiring so don't worry about that being an issue

This can be done out of the car, but I was moving too fast and was lazy. Put some electrical tape on the rear of the new connector where it meets the wires, just a little extra protection in case the grommets pop loose.

Plug in your headlight which sounds easy, but without the 90 degree elbow of the stock bulb it kinda stinks. I placed the bulb in the housing then used the 10mm wrench I had used on the battery terminal to help me turn the bulb into position. Make sure the wires aren't touching any moving parts, then reconnect the negative terminal and give the setup a test run. Better to find out you've got a bad bulb or HID ballast before you go hiding wires and securing everything.

Tada! If it looks like that, you done good son. If not, look over your connections once more, making sure the polarity isn't reversed at the spade/connector/stock connector hookup, as this is the most common issue. Your ballast may hum, but as the bulb warms up it goes completely quiet. If it keeps humming, you might have a bad connection or a bad ballast.
Now disconnect the battery again and do the other side. Give it a test run as well. Next up, hiding the ballasts and wires so the stealership won't harass you when you take it in for an unrelated issue.
I started on the driver's side. I wrapped all loose wires with wire loom and taped the ends close with electrical tape to keep any water/gremlins out, then secured everything with the included zipties. Also make sure to feed the rubber protector for the bulb as close to the bulb as possible. I couldn't find a way to make it sit flush against it because of the connectors for the harness.

I tucked the ballast just under the fender and the in-line fuse thingamabob right near the fuse box. Clean the mounting areas well with alcohol, put double sided tape on the kit (not the car) and apply pressure for at least 30 seconds to get a nice seal.


In the back you can see the ballast mounted down

Also, remember to drink your beer.
Now for the passenger side. There's more junk on this side so it's not as easy to work on, but it's no big deal.

I mounted the in-line fuse thing just under the stock harness wiring connection, fit perfect down there.

Ballast went in essentially the same place as the other side of the car.

Look over everything, make sure you're happy with wire placement, then reconnect the negative terminal, redo your radio presets, and enjoy your new HID's!

When my 35W 5000K bulbs initially come on they are very blue

Give it a minute and it chills out to a nice crisp white with a small hint of blue

The kit is very well worth the money (a measly $50 shipped), but to be honest I'd get the Raptor kit next time. It's $10 difference, but you get the sealed H11 connector instead of wondering which one you'll get (EDIT: not true all the time, but it seems more people get the connectors than with the Slim kits), and the 3 prongs for the bulb where it slides into the housing are metal instead of plastic like the Slim kit. The ballasts are bulkier in the Raptor kit but they're not that hard to hide either, just a bit more noticeable. Everything else about the kits is essentially the same. Read about all that in my research, not sure if it was here or elsewhere.
Hope someone finds this helpful. Any questions feel free to PM me!