iPhone Audio Output Problem

I got a pair of blue tooth headphones, but when I pair it up with my iPhone (1G) it doesnt play any songs, I can hear them coming out of my iphones speakers, but not the headphones....
I fiddled around with my phone and discovered that the Voice Memo app has an audio device button at the top left, which allows me to listen to my voice memos through the headphones.
So Im asking if the iPod app/icon has one too and where? Or if theres some option in the Settings app.
Please help, and thanks
iPhone iPhone OS 3.1.3 No