There is a very strong chance that the turbo bearings are shot. A turbo can spin at up to 100,000 RPM and runs in a very hot environment. It needs more regular oil changes than a normally aspirated engine, and bearing failure is imminent if this is not done. It is not a difficult job to change it, but the bolts needed to remove it can be difficult due to heat. You should not need to remove the exhaust manifold. When you remove it, check that the shaft is not wobbly up and down. Any vertical movement will mean that oil is escaping from the seal, and going into the inlet manifold, or the exhaust. The inlet pipe out of the turbo should be clean as a whistle! That's why there is an air filter. Shop around for the turbo, from as little as AUS$300 from HK or AUS$2000 from a Mazda dealer.
diverdave, August 2012