There are a number of instructions and videos that shows you how to install the mirror blinkers so I am not going into details of that. However, none of them actually show you how to wire the mirror. You can buy a harness for $46 USD or build one for roughly $10, I picked the cheaper alternative. So I felt like sharing some info on the wiring part for those of you who would like to DIY.
REFERENCE: (Big thanks to the users on these links that did all the researches):
____________________________________________________________________________________________
- NASIOC 2015 STI Blinkers on wrx (
http://forums.nasioc.com/forums/showthread.php?p=42287639#post42287639)
- DeFroy mirror harness and instruction (
http://www.defroy.org/mirror-mod.html)
- Youtube video of the installation (
https://www.youtube.com/embed/zp9YxVGqbi0)
PARTS I ORDERED:____________________________________________________________________________________________
Female Connectors x 2 (for blinker side): 2 pin MT .090 – 2.3mm MT090-2B
It comes with 1 plastic connector, 2 female pins, and 2 rubber seals per order (you need 2 orders)
Parts:
http://www.cycleterminal.com/mt-series-090.html 
*Terminal pins x 4 (for tabbing in the harness at the door): Multi-lock 040 2 pin female ML 040
You need 4 of the female ones
Parts:
http://www.cycleterminal.com/amp-multilock-070.html#Multilock040 
*Note: The 040 I ordered were a bit too short but I ended up making it work by taking apart the clips holding the harness. There must be one that's longer, but I am not totally sure.
22 gauges wire: you can get them anywhere, crappy tires or princess auto
I am not an electrician and afraid I might screw up so I actually bought more pins than I needed. All and all, the connectors and pins costed me roughly $22 shipped (if you only get the connectors and pins you needed, it will be somewhere around $10)
HOW:____________________________________________________________________________________________
1. Wires = roughly 40 to 50 cm to give yourself some play. You need four of these.
2. Crimp the 090 pin (the ones included with the connectors) onto the wire. Do this twice.
*Note: In this picture I had the rubber seals the wrong way (like I said I ain't no electrician)
3. Insert the two crimped pins into the connectors until you hear a click.
If you don't hear or feel the click, you might have inserted it the wrong side up.
Push the rubber seals in.
4. Repeat this for the second connectors
5. At this point, you should test the connectors and the blinkers to see if they work. I used a 9V battery.
6. If everything works, route the wires through the mirror. I am not going into details of how because you can find everything you need from the links above. Best to use zip-ties to route.
7. After the wires are routed to where you want it, crimp the 040 pins onto the wires you just routed through. Sorry I don't have pictures for this step but it's the same idea as you crimp the 090 pins.
8. Connect the harness and the blinkers before installing the blinkers on the mirror body.
9. Insert the pins into the OEM harness (I removed the retaining clips to gain access to the harness). Follow this diagram:
10. Repeat on the other side and reinstall the mirrors.
RESULT:
Video:
http://vid1082.photobucket.com/albums/j361/Kenuckie/15%20WRX/Blinker/20151202_140456.mp4
