I have my first Activity in which the BT connection is established. There is an option presented to the user and, based on their selection, a different Activity will load.>
I know it's an old question, but for the new people visiting this topic:
I think Kibibyte's answer would also work, but otherwise there is the option to use a (Bound)Service. This would run even if the app closes
(Bound)Service
Official Android Service documentation