the part you are looking for is a bit hard to find, and wont show up on most diagrams of the cooling assemby. there are in fact 2 water circuits from the water pump, the engine cooling and a separate for cooling the oil.
The part you are looking for is on the oil cooler circuit, and the part number is "KL01-15-54Y" and is used on about a dozen mazdas as far as I can remember from the last time a friend of mine changed his.
its a bit tricky to change as epxepx said, but we also changed the alternator and belt when we did this. With the alternator and belt of its alot easier. and only takes about 10-15mins.
Loosen the belt tensioner pulley, and remove belt (screw located over pulley between the headers on the V6)
remove the alternator (believe its 3 screws, cant actually remember :P)
and use a wide set of pliers or vice grips and remove the tensionclips.
install new hose and reassemble
when tightening the belt again, dont over-tighten it. tighten to the point where you can twist the belt about 90 degrees with your fingers
hope it helps