For some strange reason, the Bluetooth connection between the iPhone and the Macbook Air is not enabled by Apple... at least at the time of this posting.
However, if you have an iPhone, you can go to the app store and get Keynote Remote for free. The trick to make it work smoothly is to first establish your Macbook Air as wireless network. Then you use your iPhone to control the slideshow remotely, by swiping from slide to slide -- even from quite a distance.
Turn on your Macbook Air's airport (wi-fi), then select Create Network.
Once your Macbook Air is turned on as a network, open Keynote on your computer and your slideshow, but don't start the "view slideshow" mode just yet.
Open up Keynote Remote and if it doesn't connect automatically to your Macbook Air then select the network in Options.
Then start your slideshow from your iPhone -- you will notice each slide appearing on your iPhone as a reference.
If you still have difficulties linking, go into the Keynote preferences menu on your computer and make adjustments in the tab Remote. (And don't be fooled by the Bluetooth option -- strangely at this point it doesn't work between the iPhone and the Macbook -- only wireless.)
*Extra: You can enable "speaker notes" to show up on your iPhone below the picture of the slide.
