I believe the Mazda V6 is the same as my 2002 Escape and uses individual coil-over-plugs or COPs. Each spark plug has it's own coil.
I've had an engine light twice, and needed to replace coils. I finally replaced them all. They are available at Ford, car parts stores like AutoZone, or I bought my full set of 6 coils on Ebay.
Autozone coils, for example are about $70/coil.
One of the difficulties with replaceing the coils, is that the 3 coils on the "back" of the engine are covered by the intake manifold. The manifold needs to be removed to get to them. You'll need the manifold gasket set, which costs less than $15.
The coils themselves are easy to replace. Unplug the 2 wire connector, unscrew one bolt (using 8mm socket?), and pull the coil up and off the plug.
I recommend replacing all the coils, and also replace the plugs while you're in there. Use OEM plugs; probably Motorcraft. (If the original plugs lasted 100,000+ miles, why would you experiment with something else?)
Here's a picture of one coil:
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