Bluetooth functionality for the Raspberry Pi PicoW has been added to the milestones for the upcoming 1.5.0 version of the Pico C SDK, according to a tweet from Raspberry Pi. They anticipate the public availability of assistance in January.
First and foremost, make sure the Pico C SDK is installed in its most recent version. By doing this, you can be certain that your device will work with the impending Bluetooth capability.