Where do I set this? I can't seem to find it - sorry!

Passcode for what?
What other device are you trying to pair with the blackberry?

I am pairing it with my other BlackBerry. I know the default is '0000', so I was able to pair the devices, but it led me to thinking... "Hey, I want to change the passcode!", but I couldn't find where to do this. I thought it would be obvious to change this, but I can't find it!

The passcode is preset in the headset and I don;t believe there is any way to change it. I was thinking the same thing, but it came to me that there really is no serious security risk to pairing a headset so there is no real reason to have a secret passcode. Now on other devices that may contain personal data that's a different story and they will likely have a secret passcode.

There's no pre-set bluetooth passcode for a BlackBerry device.
You set the passcode yourself during the pairing process.