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I don't remember any air bag connections involved in the shifter install, but anytime you are dealing with electrical connections, even the lighter, it is best to be safe so there is no chance of anything shorting out.
I would (and did) disconnect the battery.
For the electrical connections in the center console, one was very difficult to disconnect so I just laid the radio surround off to the side for the R&R. There was just enough wire to allow for that w/o stressing the wire or connections...
Thanks for the input guys. It would have been a really quick job had it not been for the demon key! It finally came out in pieces once I had the stock shifter out of the car.
That's OK, tomorrow I get a new one from the stealership and she'll be better than new!