My car has the Mazda 2.5 ltr KL V6. I've never had any problem with oil consumption. Then again, i've never gone over 3000 miles either
It sounds like you are using the right vis and a quality oil, so not sure why you are having problems.
Have you checked your spark plug wells for signs of oil leaking from the valve cover gasket? As Blue99 suggested, check the PCV valve, pull it out and shake it, it should rattle. If not, replace it.
These tend to be very reliable long-lasting, smooth running V6's. They are a short-stroke design, so we do run slightly higher RPM's on the highway than other similar sized V6's, but i've run mine 75-85 MPH for 4-5 hours at a time with the A/C running, without any consumption at all.
I've tried just about ever brand of oil in my car and the two that come to mind as very good performers are Castrol syntec Blend (Semi-synthetic) and good ol' Motorcraft. Both in 5w30. My engine feels sluggish when i use anything thicker than 5w30.
I'd also recommend using an OEM filter. Buy them at your Mazda dealer or I buy them in quantity online for about 4 dollars a piece. They are Nippon filters, made in Malaysia, exact same as OEM.
Last weekend i cleaned the throttle body intake and was surprised how much gunk can build up in their after only 10,000 miles since i did it last time.