This particular swap is done all the time, and it's not a trivial question. The Grand Prix and the Mexico have completely different power-wiring schemes, although the speaker wires and connectors are the same. You will need the power-plug for the Grand Prix, available from Becker, or from any M-B recycling yard. The big difference between the two radios is that the Grand Prix requires "constant +12," which is used to maintain the pre-set stations in a digital memory. There is also a connection to the light switch, and possibly a security system connection, depending on the vintage of your Grand Prix. The constant +12 is easily taken off your clock's power-connector, and the console light connection can be taken off an instrument-panel light. The switchable +12 connection and the power-antenna connection are common with the Mexico. If your Grand Prix has theft protection, then ground all the security pins (on a separate connector) BEFORE you install any other power.
