To test, you'll need a terminal program. Since most people have the Arduino IDE installed, I'll use that for the first 'loopback' test
The loopback test is the easiest test and checks the RX/TX pins as well as the wireless link overall!
Start up the Arduino IDE and select the Bluetooth device you found in the Pairing step beforehand
This is a more advanced test, for checking the DSR/DTR pins. For this, we need a terminal program that can control the flow lines. Unfortunately the Arduino IDE does not do this, but Digi's X-CTU program can.
If you're on a Mac, Serial Tools will let you perform the same tests as X-CTU is not available for Mac
Select the COM port you identified before