So I'm a thrifty bugger, always willing to invest when needed... but $60+ for an Aux-In is a little steep. I can't speak for this works for 'ALL' head units, but it definitely works on a 2002-2003 WRX head unit.
You're going to have to take the headunit out, pull the CD unit out and find the triangle board (its about 10 screws in, no worries)... I did it with 1/2 a 6-pack in me
Go to Radioshack, or anywhere you have a regular 1/8" Aux-In cable handy and cut the NON-MALE end off. You'll find 3 wires:
Red w/ copper wires- Right channel
Black w/ copper wires - Left channel
Black w/ """SILVER""" wires - AUX GROUND!!! (ie not L channel)
Here is a pic of what you'd like to accomplish:
Red wire(copper) -to- RHC (which means right hand channel)
Black wire (copper) - to LHC (which means left hand channel)
Black wire (SILVER) -to- AU GND (which means auxiliary ground)
The going theory is that you MUST run a blank (silent) audio CD... I run the GF's Beastie Boys "Licensed to Ill" and I have no interference...but do as you wish.
PS... If anyone wants to send me their headunit to make a full writeup on this, I'd appreciate the chance.