I just bought a 2008 GXP and was surprised to learn that it didn't come with an Auxiliary port. I thought I was stuck with using an FM transmitter, since I didn't want to mess around with an aftermarket radio and risk losing the HUD, DIC displays, etc. But I found this guy in Washington state who makes cable assemblies for this exact application. My radio is a 6 CD changer, with Monsoon, XM and no NAV.
The guy's name is Ray Kawal and his website is http://www.kawal.net/vettemods.htm. I bought the Aux-1 harness and it literally took me 10 minutes to install. No cutting or splicing, just plug and play. I haven't spent the time to route the cable properly and that will most likely be the most challenging part of the install. It's a great solution, Ray is really responsive and helpful and the cable only costs $40.