I got a 05 retractable key & remote from ebay.
I have no problem with programming remote but for key cutting,
none of walmart, lowes, home depot could cut my key.
Should I go dealership to cut this key? or is there any other place that I can
cut this one?

 

Assuming the key itself is blank you may wind up just getting one from the dealer. Typically for new cars these days they require special cuts or keys.

 

To my knowledge the key also has to be programmed...but as far as getting the key cut i would think any key cutting place should be able to do it aslong as they have a copy of the key.

 

Any locksmith shop in your area will be able to cut the key if you get the blank and a key to copy from. If you want to use the (already cut) key that came with the remote and want to recut that: forget about it. You must get a new blank key. You can buy one from the dealer or from online vendors such as mazdaparts.com
Also, you must program the key itself, not just the remote. You will find the instructions for that in the DIY section.