Steering Wheel Radio ControlsThese instructions are for the 2006 HHR. The part numbers may differ for the 2007 & beyond, as may some of the instructions. Please read entire thread to see if info for 2007 has been posted.
This post will explain in detail, how to add the radio controls to your HHR steering wheel. I have listed the part numbers needed below for 2006, that were required at the time of this thread. The parts are very hard to come by at this point, but can be obtained through websites shown below, although one or more parts may be put on backorder.
http://gmpartsdirect.com or
http://www.partszoneonline.com/index.php
Part # 15234343* HARNESS
Part # 15842365* SWITCH
Part # 15234337* COVER
UPDATE: HERE is a place that has steering wheel controls for 06-08 according to their site. Others have ordered them and the colors may differ, but you could paint them any number of colors so that the two match controls match.

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Prices on these parts will vary, depending on where you obtain them, but you're looking at less than $60.00 including shipping at the present time...but the page above could be a little less. You might try contacting them by phone 1-866-835-7278 X 84 for Chevy.
I got a quote from several dealers for up to $275 for parts and labor. If I can do this, so can any of you. Just follow the instructions and you should be fine. If anyone has any additional tips on this mod, please feel free to add them.
Before starting, disconnect the positive battery cable.
1. Eat your wheaties and take 2 of these before starting. 
If you smoke...take your cigarettes with you...you're gonna need them to calm your nerves.
2. Put the switch assembly into the new cover and make sure everything snaps into place.
3. Insert an allen wrench or other small metal object straight into one of the little holes and push towards center of the steering wheel and you will feel the clip move, that holds the horn assembly in place.
4. Apply pressure to the allen wrench/metal tool, holding it in place with one hand and use other hand to apply pressure inward until clip holding it in place releases. Clip is made out of metal, so it takes some strength in order for it to release. (This is why you needed the wheaties. :lol:)
5. Once enough pressure is applied, the clip will free itself and then you can do the same thing to the other side.
6. Once both sides are free, let the horn assembly hang by the wires during remainder of this process.
7. Take a phillips screwdriver and remove the covers from both sides...trust me, it makes things much easier to work with.
8. Once you have these out, you will be able to remove the harness ends much easier. Have the new harness handy, so you can see the 3 harness ends you need to remove from the steering assembly. The ones that go behind the brackets are a PITA to get through the steering column hole, so cut those hummers off and save yourself a lot of aggravation.
9. Using a small screwdriver or other metal object, gently lift up on the retainer that holds the last harness end in and pull it straight towards you until it has freed itself. Throw it as far as you can...it will make you feel better. :lol: Have another cigarette.
10. Plug all the harness ends into their corresponding places.
11. Put the switch covers back into their respective places and tighten them down. Then stash the wires back into the open areas on each side so they are out of the way.
12. Take horn/airbag assembly and gently push it back into place until you hear it snap into place and you are done, unless you disconnected the battery cable.
Turn the igniton and radio on and -*test*-('") to make sure everything works. Mine did and I nearly fell out of my HHR. :lol: This mod is great and I love it already. My boyfriend was totally amazed when he came back home and found that I had actually accomplished this task. He was there when I started, but I told him to leave, as he was making me very nervous and I didn't think he needed to learn any more swear words than he already knows.
I hope you have enjoyed this mod. If you have any questions, please feel free to post them on this thread. All comments are welcome, so please share your success stories with us.
Credit for the original idea for this mod goes to a fellow HHR owner named Steiny. I will get in contact with steiny when I can to see if I may use his photos, however, with the detailed instructions above, you may not need them. Thanks Steiny...this is an awesome mod. :D