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Normal practice is to connect Tx to Rx and Rx to Tx. Transmitters transmit to receivers, and receivers listen to transmitters.
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None of the pictures you post appear to have anything to do with what you are actually doing, and they are all meaningless.
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You are using the hardware serial pins 0,1 for software serial. This is not a good idea. You won't do any actual damage, but you won't get anywhere either. If you want to use software serial, use different pins like 5,6 - pretty well anything other than 0,1
Your intentions are unclear, but you might find the following background notes useful
http://homepages.ihug.com.au/~npyner/Arduino/GUIDE_2BT.pdf
http://homepages.ihug.com.au/~npyner/Arduino/BT_2_WAY.ino
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