The owners manual of my RX8 shows that it can be directly hooked up with a satalight radio but I can not find any instruction on how and where to hook it up. Anyone have any info?

the Sirius satellite is an option for your car

Here ya go: http://www.rx8club.com/showthread.php?t=119618

^+1 If you want to use the SAT button on your deck and have the LED display & functional steering wheel buttons, the factory kit is the only option I am aware of. Many others have Satellite radio systems either using FM Transponders or using Aux In kits. I personally wanted the clean factory look and went that way and have been happy with it. You can install it yourself, there are good DIY directions here - pulling the headunit is a bit of a pain, and you have to mount the reciever in the trunk, but it is certainly doable on your own.