You can get the pocket right from Crutchfield--it's about $9 cheaper there than at Best Buy or circuit city. Definitely you should think about getting the aftermarket stereo from crutchfield though--they'll give you free tech support and installation diagrams for your vehicle, as well as the wiring harness and dash kit ("pocket") for free.
You don't have to get an expensive aftermarket head unit to be able to have the auxillliary inputs, because most of the models are going to require that you get the auxilliary input adapter anyways. This converts the CD changer connection into a set of RCA inputs. So really the only requirement is to get a head unit that has CD changer controls and an available auxilliary input adapter. And then once the adapter is connected, the head unit will recognize that there is now an additional source available, so that when you press the "source" button it will switch between radio, CD, and now "aux" as well.
Aiwa and JVC both have some head units that have a headphones-type plug for an aux input, built into the front of the unit. This can be handy for something like an mp3 player that you have to move around all the time, but since the Ski Fi unit's connections go into the cradle (which is permanently mounted), you're goiung to want something that has the wires that can be run out of sight. Also, Aiwa & JVC are, in my opinion not the best choices for head units.
To make this direct, out-of-sight connection to the Sky Fi unit, you'll have to get the unit itself, as well as cassette-adapter car kit (the only way to get the antenna is by getting the car kit). To avoid having to use that stupid cigarette lighter adapter, you can just clip off the cigarette lighter plug, place a 5A fuse on the positive wire, and then connect it to the red wire of your aftermarket stereo's wiring harness ("accessory" or "ignition").
And then run the other wire that was part of the cigarette lighter cable, to the stereo's black wire (ground). Make sure you use the switched power and not the constant power though, because otherwise the unit will remain turned on even after you turn your car off. The ski fi has built in memory that does not need power to work, and so that's how it can use switched power and still remember all your presets (how else would they get it to remember the presets when you move it from your car to inside your house?).
The Sky Fi's cradle has a headphones type plug that is the audio output and is usually used to hook up to the optional fm modulator. However, for your situation, all you need is a y-cable. The 1/8" stereo plug end will go into the cradle, and the other end's pair of male RCAs goes to the female RCA inputs of your auxilliary input adapter.
Ethan
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"Patience, persistence, and perspiration make an unbeatable combination for success"
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