Once you pair your device (on my Cyan ROM anyway...) you can go into the BT settings, long select the device you just paired with, choose options and if it supports X feature on the BT profile (in this case, audio) then there will be a check box that you can click to enable that function/feature.
Other than that, you might have some luck searching the Market for an app similar to BT Audio. I used to have a Shadow and I know exactly what app you are talking about, all in all though I was less than impressed with the meager selection of apps I had available compared to what I have now; and definitely even the out-of-box experience is light years ahead of any WM experience. What I ended up doing instead was just grabbed a new Stereo BT headset and problem was solved
There was one on http://www.woot.com
a little while ago that I'm loving (LG BT250 I think?).