@Me Someone: In order to connect your Bluetooth headphones, please place them in pairing mode by following the manufacturers instructions and head to Home > Settings > Sound > Sound Output > Bluetooth Speaker List > Select them from the list of available connections. If you're unable to connect 2 sets of headphones simultaneously, I recommend heading to Settings > General > Accessibility > Multi-output Audio, so sound is outputted through your headphones and the TV speakers at the same time.
Cheers. I haven't got 2 sets to pair yet so I cannot test with both. I am trying to find out before I purchase another set?
Multi-output Audio is greyed out and errors with "This function is not available"