I'm having trouble setting iCloud Keychain in my MacBook Pro and other devices

I'm having difficulty setting iCloud Keychain in my MBP (OS X Yosemite). This is what I have done so far:

I went to Apple System Preferences in the MBP, selected Keychain, followed the instructions then got this message:

An approval request has been sent to your other devices using iCloud Keychain.

[I did not use iCloud Security Code because I don't remember the digitsand I'm afraid that if I create a new Keychain all the current data (passwords, etc) will be deleted.]

My other devices are one iPad2 (iOS 8.1.1; 64 GB) and one iPhone 4s (iOS 8.1.1; 16 GB).

iCloud Drive in the MBP, iPad2 and iPhone is ON.

Keychain in iPad2 and iPhone 4s states Pending.

There has been no response -- I have been waiting for something to happen, but there is no message in the MBP, iPad and iPhone to let me know what's happening.

I'd be most grateful if someone in the Apple Community can offer advice on how to solve this problem.

Many thanks!

Lincoln