Welcome to the club! Do you have any pictures of your new pride and joy?
As an answer to your question, you'll need to put music on the SD card for M+M to store them but you can play music from your iPhone via Bluetooth, you just won't see a list of files in the file manager.
Hi. I agree with skyhigh. Put your music on an SD card in your M+M. It's a much better way to store it, but is a bit fiddly when moving, as the icons are small. I try to put the music I want, on before I set off. See what you think.