How I connect Sony wireless speaker to my iphone6

Follow the instructions for the speaker to set it to pairing mode.

Then follow the steps here to pair it to the iPhone:

Pair a third-party Bluetooth accessory with your iPhone, iPad, or iPod touch - Apple Support

As said, follow the instructions that came with the speaker to set it to pairing mode.

http://helpguide.sony.net/speaker/srs-xb20/v1/en/contents/TP0001266491.html

Then follow the steps in the link above to have the phone find it and pair with it.