The reason I asked about the 12 Disc Changer is because the XM receiver and the CDX share the same audio input on the back of the head unit. Whether you have or don't have the CDX only changes how you would have to connect the audio output from the XM receiver.
The head unit doesn't change. Your'* already supports XM. GM doesn't have head units with or without XM, it is always a seperate module installed in the vehicle. In this case, GM put the Bonneville XM receiver in the trunk. As long as you have a 'BAND' button (which you will) instead of "AM/FM", the head unit will already have the software to control the external XM receiver.
To check whether you have the correct antenna, you don't need to completely remove the headliner. If you remove the 'C' pillar trim on both sides and carefully pull the weather strip down from around the top of the rear doors you should be able to gently lower the rear part of the headliner to have a look. Be very careful doing this or you may kink and crease the headliner. Look for the three cables coming from the antenna. The two for OnStar should be blue and purple IIRC. As mentioned, the XM cable is a tan/gold colour.
At a minimum, you will need the coax cable that runs from the roof mount antenna down to behind the trim inside the left side of the trunk. The cable is P/N 89047299. You will require the mounting bracket for the XM Receiver, P/N 25732544. The XM Receiver itself is P/N 15125061. There is one listed on eBay right now:
eBay Motors: Factory Chevy/GM OEM XM Satellite Tuner Delphi/Delco (item 110357033165 end time Mar-05-09 11:58:20 PST)
The rear fuse block is located under the rear seat cushion. As for the wiring harness, I can build one but it'll probably be a few bucks because of what'* involved. Not super difficult, just time consuming to do a good job. I built one for 1993 SLE that accomodated both the XM receiver and 12 Disc Changer. I only use factory connectors and don't splice on pigtails, new terminals and wire all the way.
In this case, the HUD would not be a problem because you don't need to remove the upper dash pad.