I did the installation! I'm quite proud of myself (other than the ground loop- but I'm 90% done fixing that). I didn't shock myself, didn't blow up the car or break the radio!

While I haven't completely finished dressing up the wires, I thought I would share my adventures installing the devices anyway.
Hopefully this will help some of you other folks do an install!
I installed the Delphi XM Skyfi2 system into my '06 Escape Hybrid with the NAV system. Here are the supplies I utilized...
skyfi 2 unit and car kit
braketron CBM (FOR-202-05) [bracket to hold device to the right of the radio]
P.I.E. X3-FRDW Harness [harness to intercept CD changer]
P.I.E. X-3 Multi-Source Aux Input Converter [logic board to allow multiple inputs (CD, iPod, XM, etc)]
female lighter socket w/ quick connect cables
RCA to mini-jack 6 foot cable
ground loop isolator
I started installing without all the pieces because I first wanted to test the XM without it being fully integrated (and because I was excited). Even here in Southern California the FM modulator wasn't terrible.
I installed the antenna above the windshield and lead the cable in the weather stripping around the glass. I found the best tools for getting under the stripping without hurting it or breaking any important seal was a penny and a dime!

I then continued leading the wire down the windshield and entered the passenger area via a convenient opening in the weather stripping.

In the mean time, I removed the radio using the removal tools (those things can be quite annoying) and found the 12v lead. I wanted the XM to turn on with the radio and shut off as the radio does when a door is opened and not before. For my '06 NAV system equipped Escape Hybrid this wire was the yellow/black wire. I suggest being careful choosing where you put your ground. I chose the lazy route (using the quick connect devices into an existing ground cable) and this gave me a nasty ground loop problem. [When I go to fix the problem back there I'll take some photos]
After the electricity was all set for the SkyFi, I then began the installation of the PIE devices. Make sure you find the right cable under the passenger seat. Anything that is bright yellow should be avoided.

The cable intercepts the connection to the CD changer and is
very easy to install.

I didn't really find a great place to hide the unit, I suppose you could place it underneath the center console, but the intercepting cable is very thick. I know I'm blocking the foot level vent there... but I don't usually care for people who are sitting in the back seat and its never that cold here in Southern California.
I fed an RCA cable from the mounted XM unit down under the center console to the P.I.E. unit. You only really need to remove the fasteners on the passenger side of the console to slip the cable under.
Sorry these pics are not the most amazing, but once I've sleeved the cables and fixed the ground loop problem I'll get some good ones.

Full Size Photos (link to flickr photo stream)
The audio quality is quite good. I'm happy with the way the XM and iPod sound. I'm full of answers for most questions... if your thinking of doing an installation like this I'll be happy to provide any insight I can.
Tom