That's not a dumb idea. I had that part go bad on mine, the wire got hard and broke. At first I dug into the plastic and soldered on a new wire. But what I have now on there is an inexpensive condenser that would be used on an old Volkswagen Beetle (like a 1970 model) there instead.
https://www.google.com/#q=volkswagen+distributor+condenser&* I really don't know enough about that to know if its job is 100% static reduction, or if it also helps with the spark; I know on the old VWs that it is absolutely necessary.
These could be purchased through NAPA, O'Reilly, Autozone, and some stores may stock them, or try a parts store for imports if there's one near you. The official Mazda part may also be available (online or order from dealer), but I don't have a part number or even the "correct" name to help search out a source; you may have to call or stop by a Mazda dealer for that.
Another thing that wouldn't hurt would be to run the engine when it's dark or mostly dark, and look for spark jumping; even mist the distributor and spark plugs with water from a spray bottle can make this even more visible. Dirty engine, spark wire supports, lots of things can be routes for spark jumping.