First of all check that your smartphone is Bluetooth SMART compatible.

Watch the video on how to connect and re-name your lights here 

Please note that ICON lights will go into sleep mode after 3 minutes of inactivity and will stop advertising Bluetooth, you will just need to give them a shake to wake them up and then re-scan. Once connected, the Bluetooth connection should stay, as long as your Bluetooth is on and you are within range with the lights (up to 100m)