I've done it before, myself, and it didn't turn out as well as I'd hoped. The two best ways to go about it are to either:
1. Buy the side-exit cat-back exhaust by Spintech (VERY expensive, but sounds good);
2. Buy two 2.5" Dynomax Super Turbos with the inlet/outlet on the same side (I think it's part #37676, cost around $65 each last I checked), two 90* elbows, two 18" straight extensions, two universal clamp-on hangers, and six 2.5" clamps (unless you plan on welding it, which I wouldn't recommend in this case). Poke your flowtubes into the inlet side of the muff, bolt up the stock hanger onto the rear of the muff (it has a loop with a bolthole on the back like stock mufflers), then poke the elbow into the outlet and stick on the extension. Fiddle around with the tilt of the muffler and the pipes to get the right angle necessary to clear the underbody of the car while not letting it hang so far down as to look too ridiculous, then drill and bolt on your clamp-on hangers to the tailpipes and go drive.
The problems: No matter how to do it, you're going to lose at least 2" to 3" of already low ground clearance. Speed bumps? Fugeddaboutit. Hearing the exhaust right outside your door, which I've found only sounds good with an off-road H-pipe or stock H-pipe (an X-pipe makes these muffs sound kind of gross, like glasspacks), is cool for maybe the first day or two, but gets REALLY annoying when you're cruising along on the highway. You won't get a lot of (if any) fumes in the cabin during regular driving, but when you're at a stoplight, especially with the windows down ... I hope you like that "new muffler smell."
And lastly, it's an illegal configuration in some states, so you might want to check on what the rules are regarding side-exit exhaust systems on cars.
I've got pics stashed away on file, if you really want 'em, but I really don't recommend doing side-exits on a Fox. On any other car with more ground clearance, maybe, and on a truck, definitely, but not on a Fox. Additionally, unless you get a good exhaust shop to custom-bend up some piping for you, it just winds up looking kinda weird no matter how you do it, because looking at it from the side, you can see this weird tangle of exhaust hanging under there, as it's near-impossible to tuck things up under the chassis as easily as you can with dumps or rear-exit tailpipes.