On Day 1 of the new Continuity features on Yosemite & iOS, it wasn't very easy for me to find a guide to setting it all up. Here's one.

First: Turn on Bluetooth on iOS & your Mac

Some (or all?) of the new features require Bluetooth to be enabled on all of your iDevices & Macs

SMS Relay

• On iOS
  1. Go to Settings > General > Messages > Text Message Forwarding
  2. Enable any devices you desire. You should see a popup on your Mac's iMessage with a passcode to enter.

Call Forwarding

• On iOS
  1. Ensure that Settings > FaceTime > iPhone Cellular Calls is enabled
• On Yosemite
  1. Open up FaceTime Preferences
  2. Ensure that the bottom of the Settings pane has the "Start New Calls From" set to your phone number.