Other way around: You only keep the $500 CC incentive, since the 0% financing is through them.
In my case (ordering a Limited Longhorn), taking the 0% was an easy choice, since the additional incentive would amount to $1,250, and the interest savings are much more than that.
So you'd have to think about how much you'd finance, what rate you'd pay, and how long you'd finance if you didn't get 0% (for example, maybe you'd finance for 48 or 60 months instead of 72 if you were paying interest).
The interest on a $35,000 at 3.2% is just over $3,500, so that's about the break even point, but plug in your own numbers to see how much interest you'd pay.