daba:
I'm having trouble finding definitive documentation that says pins 2 (Rx) and 3 (Tx)
I guess it's documented by omission. You can use any pins on the Nano with the SoftwareSerial library. This is because all pins on the ATmega328P support pin change interrupt.
daba:
at 115200 baud
Despite what the documentation says, some users have found that 115200 baud does not work reliably with SoftwareSerial.