Per a thread from last year:
The replacement cost of the shift knob, were it to be stolen or lost, is quite expensive ($120 according to the dealership). You can go to ebay, or wherever, and get any shift knob with the standard Mazda MX-5 thread pattern for a replacement.
After seeing Asbojohns 3 ball shift knob, I went on a search for something similar - beware, all pool ball shift knobs are not created equal. The one that I ended up buying from ebay was very good though, fit well, good quality materials and metal threads, only $20.
Here is a link to the thread where you can find a link to buy one if interested:
http://www.talkmorgan.com/ubbthreads.php/topics/233666/1