Can you change the head unit on a Mazda Rx8?

it is not practical to change the head unit on a RX8

The above answer is correct.

There are many ways to make an after market head unit "fit" into the RX8, but you will probably lose the steering wheel stereo controls.

You can connect aftermarket amplifiers to the stock head units speaker output and use aftermarket speakers. Get the MP3/CDROM addition for the stock CDROM head unit from a Mazda dealer.