Are you changing the wire harness for the Protegé one too?
I did the same thing with my 94 RS. You need a 92-93 cluster with the mechanical speed cable. Find somewhere to put it through, the hole is already in your firewall, next to your brake master, it has a plastic cover over it.
You'll need to modify the 92-93 cluster to accept the 94-up cluster brackets. Actually it's quite simple, the brackets are going over plastic tracks, and the tracks from your 94-up cluster are just a little bit longer. I used a flat screwdriver and some caveman brightness (read : hit it with the screwdriver until the tracks are short enough).
To put it all back together, start by connecting the cable at the back of your cluster, plug the 3 wire harnesses behind the cluster at the same place, then put everything back in place. Go under the hood and put the speed sensor back in it's hole. You wont be able to do it another way without breaking something.
If you're not changing the wire harness, remove the speed sensor from the old tranny and put it back in the Protegé tranny. It bolts right up. Then plug the wires back. Good luck!
94_MX-3 :
The speed cable can disconnect 2 different ways from the tranny. There is a bolt next to the speed sensor, if you unbolt it, you can remove the full speed sensor assembly by pulling it up and turning it left and right in the same move. In the worst case, pry it up with a flat screwdriver, but you can break the metal tab where the bolt goes. When you wanna put it back in, reverse process.
The cable can also unscrew itself from the speed sensor. It's kinda hard to do it this way because the is no swivel connector on the cable, so you need to turn the cable in its full lenght to be able to do this.
xmaster19