You may follow these steps below:
1. Make sure the Bluetooth on your phone is switched on
2. Press "MENU" button on the radio
3. Turn the knob until you see the word "SET UP"
4. On your phone's Bluetooth connection page, click the Mazda option
5. Copy the pairing code displayed on the radio
You're paired!
Do note that not all phone models work for all Mazda's Bluetooth connections.