Radio Sound Ultra radios have TWO 23 pin outs on the back of the radio. The second is.connected to an audio harness for rear speakers, cb, passenger controls, etc.
The HK comes with a 23 connection for the basic audio functions and a second connection for the Ultra functions that has 35 pin outs that do what the second 23 connector did on the RS Ultra radio PLUS support new accessories like XM, iPod, etc.
There is no harness to conver am 02 Ultra for use with the HK. What is necessary is to buy the 35 position connector--HD will sell it to you. You then remove the wires from the 23 position connector from the Ultra harness and, using an '06 or newer wiring diagram, assemble the 35 wire connector and plug it into the HK.
If you want more info, PM me a phone number--it's a pita to type on my iPhone.
Carl