A few screens of this all in action. Note that this applies to any Lumias updated with the Windows 10 Mobile Insiders Preview:
An initial toast, after the update, takes you into this wizard. Thereafter, you'll find a new application in the apps list: Gadgets. Existing wired and paired accessories are shown, handily.
Suggested launch applications are shown for each accessory, though you can also set a default if it works better for you. Note also the 'Find' tab, which shows the location of the accessory when it was last used. Handy for working out which building you lost your Bluetooth keyboard in, but not much use in terms of which sofa it's under!....
Comments welcome. Does this now work on every device?