Bluetooth connection to Sony Bluetooth Headphones (Macbook Pro 2014 / iPhone 6s)
That's not the way Bluetooth works.  While you can connect multiple devices (multiple BT profiles) you can't connect them simultaneously.


  I want to have it that I can listen to music on the Mac, and answer a
  call on the phone when it comes in.


This is where Apple's Continuity comes into play.  You can have your BT headphones connected to your Mac and simultaneously make/receive phone calls and have them come through the headphones (or via the internal mic and speaker if you want).