I've been considering that mod also on my 2 door. I only have crank windows and manual locks, so that wasn't an issue.
As far as the speaker, I removed it from the door, pulled the harness into the cab of the truck, took the connector off the speaker, hooked the connector onto a long piece of speaker wire, plugged it back into the harness, ran the speaker wire under the dash, under the center console, out at the seatbelt acccess area, up the side of the seat and into the head rest. Of course, I had previously removed the headrest, taken off the cover, cut away the foam backing, screwed the speaker into the headrest, and then replaced the cover.
I figure if the Fiero can come with factory speakers in the headrest, then there is no reason that an XJ can't be afforded the same luxury!
Easy mod...should only take about 30 or 40 minutes not counting "beer rests."