Late on Thursday I decided to order this item from Amazon:-
Apps2Car virtual multiCD mp3/wma player for Ford 6000CD
There was a discount applied and I chose free shipping, making it just under £31. Despite the free shipping it was delivered during Saturday!
Who it's for:
Anyone considering acquiring a multi CD player to attach to a CD-changer compatible Ford audio head unit.
Advantages:
No moving parts that could wear or jam, potentially trapping original CDs within. No keeping stacks of discs in the car. Doesn't take up space in the boot.
In the box, there was a warranty card, generic instruction sheet, aux audio cable and the device itself:-

I had previously acquired the Ford audio removal tool also pictured and required for fitting.
My Cougar has the Ford audio 6000CD RDS E.O.N with the all-important "CD CHANGER COMPATIBLE" label;-

Here showing normal FM radio reception. The built-in slot single CD player works and I have used it before.

Here showing that the slot is empty/that no multiCD player with disc in attached.

First, move the gearstick back (to eg. 4th) then with the radio off, insert the two audio removal tools into the holes on either side of the radio. Push them apart to release the catches whilst simultaneously pulling toward you, the radio should slide out of the console.

Once it is fully out, unplug the aerial cable and turn the radio towards the vacant seat so you can access the rear.
On this model, adjacent to the (round) aerial socket is the green 12-pin which is where the multiCD player connects. This is the one used to attach the MP3/WMA player.
This just illustrates it connected.
I then fed the plug/cable up from the passenger footwell into the centre console behind the ashtray. Ensure to feed it under the radio supporting bracket and up the right-hand side before connecting to the radio:-
Reconnect the aerial and refit the radio, taking care to slide the plastic bracket on the back onto the metal supporting bracket in the console aperture.

Insert your SD memory card or USB flash drive with music files on into the socket on the device, and all being well you can now play these out through the Ford audio system.
Treat it just like a six-CD player; press the CD button to switch to CD/internal CD, and the number buttons 1-6 to choose virtual CD (folder), and seek <> to change track, AM/FM to switch back to radio.
There is mention of a Y-splitter cable to allow MP3/WMA to coexist with a multi-CD player, but this isn't supported by the Ford audio.
Also the analogue audio in (AUX) doesn't appear to be supported by my unit.
The device supports upto 16GB memory according to the instructions (32GB in the sale listing) but in either case the limit is 594 tracks (6x99). There could be various ways to circumvent this limit; the device maps the first six folders created to the virtual CD slots, so you could manage folders using a PC to move folder contents to newly-created folders then delete the empty older folders.
Also you could record complete CDs/compilations to a single MP3 track, giving capacity upto 594 albums but without individual track navigation.