Hi,there
As you said,you use the Mega2560 Board,for that,we upload the new Firmware of the Bluetoothshield,you can download it from:
http://www.seeedstudio.com/wiki/Bluetooth_Shield
There have the code for mega using the hardware serial or software serial,so depanding on the hardware to choice the demo code.
Because for the mega,Not all pins on the Mega and Mega 2560 support change interrupts, so only the following can be used for RX: 10, 11, 12, 13, 50, 51, 52, 53, 62, 63, 64, 65, 66, 67, 68, 69[via:http://arduino.cc/en/Reference/SoftwareSerial]
So if you want to use the software serial to contral the BluetoothShield,you have to make a jump wire to one of the Pin can be used for RX:10, 11, 12, 13, 50, 51, 52, 53, 62, 63, 64, 65, 66, 67, 68, 69
you can see it in the WIKI page.