Ok, I got it hooked up. Here's what I ended up doing.
I got some of those crimp type connectors from Advance Auto, the kind that crimp on the cable then it has a female receptacle that the other wire uses to plug in. Like this:
Next was to find the wire connection I was looking for. One that goes hot when the key is switched to Acc or Started. I removed the 3 screws holding the fuse panel in and pulled it out. I got out the owners manual to identify what fuse went to what. Bingo, #29 goes to the Radio, that should be perfect right? Wrong, not sure what "Radio" it goes to, but it's hot all the time.
It was then that I realized I was going to have to break down and get the Multi-Meter out. I was surprised at some of the connections that stay hot all the time. I then realized there were two more Radio connections, but these are labeled as "General Electric Module" Radio. One is 20 and the other is numbered 28. I hit 20 with the Multi with the fuse removed and no juice, I then turned the key to Acc and it hit 12v. I crimped my connector on it, connected up the device and no lights, I turned the key to Acc again and the device lit up, PERFECT!
I put all the trim back on and tidied up the wires under the dash (it had a velcro mounted connection that is fused). All is well now. Oh to answer a question I had in another thread, yes the Oh Shit Handle holes are drilled into the A Pillar on the 02 XLT.