Setting up communication between two modules is a two step process. The module to be used as the master must first be put into AT command mode in order to modify it's role as either a slave or master.
Slave role: The module waits for a master to connect to it.
Master role: The module sets up a connection with a nearby slave device and automagically builds the overhead for serial communication.
The default role on my modules was set to slave. Setting up serial communication was as easy as setting one of the modules to master.
Once you're in AT command mode, you might wish to change other features such as the devices name and passkey. Here's a link to a PDF with all the commands available.
Also, I highly recommend picking up an LCD Module that reads SPI for troubleshooting purposes. I've used mine countless times for many many projects.
NOTE: This project doesn't add much to Techbitar's excellent tutorial. It does offer a different method of accessing the AT command mode however.