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There is a little interface box from Axxess that comes with the Metra kit. You'll see what I'm referring to when you get your kit. It's basically the brain that retains your steering wheel controls, heat & air, etc.
You don't have anything to worry about on the Metra controls for your heat/air, etc. They work very well, and I actually prefer the buttons to the stock knobs.
Soldering your connections is just one way to splice. You can use butt connectors, or any of several other methods of making your connections between harnesses. Soldering, although when done well is probably the best way to splice, it certainly isn't a requirement.
I can't comment on the XM question, as I don't use it. I'm sure someone else can answer that one.
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Mods: RX Catch Can / MRT Version 2.0 Exhaust / RotoFab CAI / Apex Motorsports Scoop + Windshield Washer Bottle Relocation / Hurst "HardDrive" Plate / Mud Guards / Heritage Grill + Street Scene Lower Valance / Metra Kit + Pioneer AVIC Z120BT / AAC "Ghosted" LED Concept Side Markers / P13W Plasma LED Bulbs + DRL Harness
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