What a confusing thread...
Ben, your original question was 'I cannot figure out how to use the AM/FM radio and hear the aux. devices at the same time' and Bartman was correct - you can only listen to one source of music at one time, but your use of 'aux devices' was unclear and took the thread off-track.
You can overlay the CB audio (which mutes everything else when the squelch breaks) or the intercom system (which will mute the audio when the voice level detected on the microphone input exceeds the threshold of the 'intercom mute' setting) on top of any music input.
You then clarified your question to be 'whether or not I could receive voice prompts from my GPS and audio signals from my radar detector while listening to the Honda AM/FM/WB radio'. This is a different question altogether. The only way to connect these devices so that they can override the AM/FM/WB radio input is to connect them to the intercom system. Since this is a mono, low-fidelity input, this is only appropriate for voice-style GPS, not one that you intend to use for music output as well. If you want to have your GPS and your RD override the AM/FM radio, you'll need to use the Kennedy DualSet module and ride with the intercom on to hear the alerts.
You also mention that you have purchased the Kennedy AuxSwitchSet system. This is used to share the AUX input with two stereo input devices (typically a MP3 player and a satellite radio). This is not the device to use if you want to also incorporate voice or alert inputs like a RD or GPS.