I recently replaced my factory multi-function steering wheel with an aftermarket option. What SHOULD have been a simple process was complicated by the wiring harness for the controls. I was able to work around it and get a functioning horn on my new wheel.
One watch-out is clearance to the stalk controls. With this setup pulling controls towards you (flash to pass, etc) the controls very nearly touch the steering wheel. I would recommend going with a standard height hub adapter or some sort of spacer to provide a factory-like clearance from the back of the wheel to the controls. I will likely revise my install to address the issue (not sure what I plan to do just yet).
I'm sure this mod is not for everyone, but for someone who IS considering it this will save you a lot of time (i hope).
I used NRG Universal Steering Wheel & "Kyostar" short e46 hub (knock off of the NRG version). The rest is just standard dupont jumpers and ebay airbag resistors.
Youtube Walkthrough:
https://www.youtube.com/watch?v=VRKkieTBC4c