Have a look at:
Turning a LED on and off with an Arduino, a HC-06 and Android
Turning a LED on and off with an Arduino, Bluetooth and Android. Part II: 2 way control
Turning a LED on and off with an Arduino, Bluetooth and Android. Part III 3 LEDs and 3 Switches
Although the guides use LEDs, the techniques can be used for other things.
To repeat what Robin has said; software serial at 115200 doesn't work. Based on my own experiments, with software serial I have only had 100% reliable communication at 9600. 38400 is usable if you don't mind the odd bit of missed data.
If speed is really important you need to use hardware serial but this introduces issues with uploading code and using the serial monitor. If you want more speed but don't need super fast have a look at AltSoftSerial. I have 100% reliable data at 38400 using AltSoftSerial. I think it will be good for faster baud rates but I haven't used it above 38400. I think it also depends on how much data you are sending and how frequently you are sending it.