Some time ago I've acquired a cheap Bluetooth UART module. It's labelled "CZ-HC-05 gomcu".

The PINs are, top to bottom
  • VCC
  • GND
  • TXD
  • RXD
  • KEY
  • LED

To change the settings of the device, I connected the module as follows to my CP2102 USB serial adapter: 5V=VCC, TXC=TXD, RXC=RXD, GND=GND
Note that TX and RX are connected in an unusual manner. You might need to swap them for your adapter. I'm not sure about that...
As far as I can tell, the KEY and LED pins don't matter for getting in configuration mode. You should not have a device connected via bluetooth.

Afterwards I connected the USB adapter to my computer and ran dterm as follows

sudo dterm 8 n 1 38400 maplf crlf /dev/ttyUSB0

Now I was able to communicate with the bluetooth device with these commands:
> AT
< OK
< +NAME:HC-05
> AT+NAME=Blafoo
< OK
< +NAME:Blafoo
> AT+PSWD=0000
< OK
< +PSWD:0000
< +UART:9600,0,0