iPhone 6, Sony headphones won't connect? They connect to the iPad? Any help would be appreciated.

You must pair the headphones with the iPhone. to do this dig out the manual for the headphones and find out how to put it in "pairing mode". Once it is paired to the iPhone you will be able to connect it to one or the other, but not to both at the same time, and when you switch from one to the other you will have to manually go to Settings/BlueTooth on the device and tap "connect". It's best to temporarily turn off BlueTooth on the one you are not trying to connect to when you do this.