Hi Gust !
Congrats on your SW !
I've also got a Sony headunit (CDX-MP40), and I changed all the door speakers with the Sony Xplod Custom Fit range.
For the front doors they've got a nice two-way system, and the back doors have three way speakers.
It's very easy to install, just carefully remove the speaker covers from the doors (for the tweets, remove the plastic cover), unscrew the original speakers, pull out the plug, and install the new ones...
However, I've only got the high and mid tones from the door speakers, I didn't want to fill up the doors with anything to produce more bass.
I've installed an Xplod Sub and Amp in the trunk, and I'm very happy with the global sound !
I don't know where to find a Sony-dealer in the UK, but that shouldn't be a problem, I guess...
Good Luck !