A method for setting up a short-range radio connection, in particular a Bluetooth connection, provides a connection between two devices, namely a hearing device and an additional device. The hearing device has a switch as an input element and a receiver as an output element. The additional device has an input element and an output element. A reciprocal authentication is performed by using a respective device to generate a character string and transmitting the character string to the other device. A check code is subsequently generated on both devices using both respective character strings and output to a user through the respective output element. The authentication is completed successfully and then a short-range radio connection is set up if a confirmation from the user that the check codes that have been output match, is received through the respective input element. A corresponding hearing device is also provided.