It might be a bit late, but the code goes in your Main Activity at least that's where I put it.
If you want to learn more about Android Development, here's a pretty nice video tutorial :
The website covers lots of programming languages.
(I don't own this website, nor i'm related to it, I just find it very good and pretty complete at least to start)
In addition, for those who might be interested, I used a Bt Adapter called JY-MCU, it's the cheapest one I could find on the bay.
It works fine, it's a slave device though, so you can't scan nor initiate a connection with it.