The impedance technique, also known as a particular case of the invariant embedding approach, is generalized for modeling electromagnetic wave propagation in anisotropic and gyrotropic media with spatial dispersion such as hot magnetized plasmas. That provides a new way for analytical and numerical studies of 'full-wave' problems in plasma physics that require exact solutions of Maxwell equations. Several examples of such a treatment are considered to demonstrate the flexibility and computational robustness of the proposed technique.