So far, investigating it on my own, I think the problem is with the Snow Leopard version of Audio MIDI Setup. (If an Apple or audio expert could confirm here, that would be good.)
The Lion version of AMS does seem to permit this. From the Apple site: "Audio MIDI Setup works with audio and MIDI devices connected to your Mac using FireWire, USB, Bluetooth, PCMCIA, and PCI."
So the answer for Snow Leopard users may have to be some kind of third party software.
The nice people at Rogue Amoeba gave me an idea (to try) to use Audio Hijack Pro to hijack the audio and send it to the Bluetooth using the Auxiliary Device Output plugin under Effects. But it did not work.
Any further thoughts would be appreciated.