SUCCESS!
I found I had to use the commands listed here:
http://embeddedprogrammer.blogspot.co.u ... odule.html
to be able to talk to it.
I used CoolTerm (Mac serial port tool) and the Flyduino USB UART adaptor to connect to the HC-06 (the adaptor also powered the HC-06). I had to use 9600 initially (all the other settings left at default), and I could then use "AT+BAUD8" to set the baud rate to 115200. I double-checked that the pin was 1234 by setting it using "AT+PIN1234".
I first knew something good had happened because I could now pair successfully to the HC-06 ... although the act of pairing didn't stop the red LED flashing (which confused me a bit). But the Bluetooth system preferences pane said it was Paired.
After selecting 115200 and 'HC-06 DevB' in the GCS software, it now talks!
I hope this info will be useful for others trying to set their Bluetooth up – maybe it could go in the Wiki? There is very little in the Wiki with regards to setting up the Bluetooth at the moment ...
Cheers! David